Real LinearTsrPricer::swapletPrice() const {
if (fixingDate_ <= today_) {
// the fixing is determined
const Rate Rs = coupon_->swapIndex()->fixing(fixingDate_);
Rate price =
(gearing_ * Rs + spread_) *
(coupon_->accrualPeriod() *
discountCurve_->discount(paymentDate_) * couponDiscountRatio_);
return price;
} else {
Real atmCapletPrice = optionletPrice(Option::Call, swapRateValue_);
Real atmFloorletPrice = optionletPrice(Option::Put, swapRateValue_);
return gearing_ * (coupon_->accrualPeriod() *
discountCurve_->discount(paymentDate_) *
swapRateValue_ * couponDiscountRatio_ +
atmCapletPrice - atmFloorletPrice) +
spreadLegValue_;
}
}
Real LognormalCmsSpreadPricer::floorletPrice(Rate effectiveFloor) const {
// floorlet is equivalent to put option on fixing
if (fixingDate_ <= today_) {
// the fixing is determined
const Rate Rs = std::max(
effectiveFloor - coupon_->index()->fixing(fixingDate_), 0.);
Rate price = gearing_ * Rs * coupon_->accrualPeriod() * discount_;
return price;
} else {
Real floorletPrice = optionletPrice(Option::Put, effectiveFloor);
return gearing_ * floorletPrice;
}
}
Real LognormalCmsSpreadPricer::capletPrice(Rate effectiveCap) const {
// caplet is equivalent to call option on fixing
if (fixingDate_ <= today_) {
// the fixing is determined
const Rate Rs = std::max(
coupon_->index()->fixing(fixingDate_) - effectiveCap, 0.);
Rate price = gearing_ * Rs * coupon_->accrualPeriod() * discount_;
return price;
} else {
Real capletPrice = optionletPrice(Option::Call, effectiveCap);
return gearing_ * capletPrice;
}
}
Real LinearTsrPricer::floorletPrice(Rate effectiveFloor) const {
// floorlet is equivalent to put option on fixing
if (fixingDate_ <= today_) {
// the fixing is determined
const Rate Rs = std::max(
effectiveFloor - coupon_->swapIndex()->fixing(fixingDate_), 0.);
Rate price =
(gearing_ * Rs) *
(coupon_->accrualPeriod() *
discountCurve_->discount(paymentDate_) * couponDiscountRatio_);
return price;
} else {
Real floorletPrice = optionletPrice(Option::Put, effectiveFloor);
return gearing_ * floorletPrice;
}
}
Real LinearTsrPricer::capletPrice(Rate effectiveCap) const {
// caplet is equivalent to call option on fixing
if (fixingDate_ <= today_) {
// the fixing is determined
const Rate Rs = std::max(
coupon_->swapIndex()->fixing(fixingDate_) - effectiveCap, 0.);
Rate price =
(gearing_ * Rs) *
(coupon_->accrualPeriod() *
discountCurve_->discount(paymentDate_) * couponDiscountRatio_);
return price;
} else {
Real capletPrice = optionletPrice(Option::Call, effectiveCap);
return gearing_ * capletPrice;
}
}
Real CPICouponPricer::capletPrice(Rate effectiveCap) const{
Real capletPrice = optionletPrice(Option::Call, effectiveCap);
return gearing_ * capletPrice;
}
Real CPICouponPricer::floorletPrice(Rate effectiveFloor) const{
Real floorletPrice = optionletPrice(Option::Put, effectiveFloor);
return gearing_ * floorletPrice;
}
