void BlackCapFloorEngine::calculate() const {
Real value = 0.0;
Real vega = 0.0;
Size optionlets = arguments_.startDates.size();
std::vector<Real> values(optionlets, 0.0);
std::vector<Real> vegas(optionlets, 0.0);
std::vector<Real> stdDevs(optionlets, 0.0);
CapFloor::Type type = arguments_.type;
Date today = vol_->referenceDate();
Date settlement = discountCurve_->referenceDate();
for (Size i=0; i<optionlets; ++i) {
Date paymentDate = arguments_.endDates[i];
// handling of settlementDate, npvDate and includeSettlementFlows
// should be implemented.
// For the time being just discard expired caplets
if (paymentDate > settlement) {
DiscountFactor d = arguments_.nominals[i] *
arguments_.gearings[i] *
discountCurve_->discount(paymentDate) *
arguments_.accrualTimes[i];
Rate forward = arguments_.forwards[i];
Date fixingDate = arguments_.fixingDates[i];
Time sqrtTime = 0.0;
if (fixingDate > today)
sqrtTime = std::sqrt(vol_->timeFromReference(fixingDate));
if (type == CapFloor::Cap || type == CapFloor::Collar) {
Rate strike = arguments_.capRates[i];
if (sqrtTime>0.0) {
stdDevs[i] = std::sqrt(vol_->blackVariance(fixingDate,
strike));
vegas[i] = blackFormulaStdDevDerivative(strike,
forward, stdDevs[i], d, displacement_) * sqrtTime;
}
// include caplets with past fixing date
values[i] = blackFormula(Option::Call,
strike, forward, stdDevs[i], d, displacement_);
}
if (type == CapFloor::Floor || type == CapFloor::Collar) {
Rate strike = arguments_.floorRates[i];
Real floorletVega = 0.0;
if (sqrtTime>0.0) {
stdDevs[i] = std::sqrt(vol_->blackVariance(fixingDate,
strike));
floorletVega = blackFormulaStdDevDerivative(strike,
forward, stdDevs[i], d, displacement_) * sqrtTime;
}
Real floorlet = blackFormula(Option::Put,
strike, forward, stdDevs[i], d, displacement_);
if (type == CapFloor::Floor) {
values[i] = floorlet;
vegas[i] = floorletVega;
} else {
// a collar is long a cap and short a floor
values[i] -= floorlet;
vegas[i] -= floorletVega;
}
}
value += values[i];
vega += vegas[i];
}
}
results_.value = value;
results_.additionalResults["vega"] = vega;
results_.additionalResults["optionletsPrice"] = values;
results_.additionalResults["optionletsVega"] = vegas;
results_.additionalResults["optionletsAtmForward"] = arguments_.forwards;
if (type != CapFloor::Collar)
results_.additionalResults["optionletsStdDev"] = stdDevs;
}
void YoYInflationCapFloorEngine::calculate() const {
// copy black version then adapt to others
Real value = 0.0;
Size optionlets = arguments_.startDates.size();
std::vector<Real> values(optionlets, 0.0);
std::vector<Real> stdDevs(optionlets, 0.0);
std::vector<Real> forwards(optionlets, 0.0);
YoYInflationCapFloor::Type type = arguments_.type;
Handle<YoYInflationTermStructure> yoyTS
= index()->yoyInflationTermStructure();
Handle<YieldTermStructure> nominalTS =
!nominalTermStructure_.empty() ?
nominalTermStructure_ :
yoyTS->nominalTermStructure();
Date settlement = nominalTS->referenceDate();
for (Size i=0; i<optionlets; ++i) {
Date paymentDate = arguments_.payDates[i];
if (paymentDate > settlement) { // discard expired caplets
DiscountFactor d = arguments_.nominals[i] *
arguments_.gearings[i] *
nominalTS->discount(paymentDate) *
arguments_.accrualTimes[i];
// We explicitly have the index and assume that
// the fixing is natural, i.e. no convexity adjustment.
// If that was required then we would also need
// nominal vols in the pricing engine, i.e. a different engine.
// This also means that we do not need the coupon to have
// a pricing engine to return the swaplet rate and then
// the adjusted fixing in the instrument.
forwards[i] = yoyTS->yoyRate(arguments_.fixingDates[i],Period(0,Days));
Rate forward = forwards[i];
Date fixingDate = arguments_.fixingDates[i];
Time sqrtTime = 0.0;
if (fixingDate > volatility_->baseDate()){
sqrtTime = std::sqrt(
volatility_->timeFromBase(fixingDate));
}
if (type == YoYInflationCapFloor::Cap || type == YoYInflationCapFloor::Collar) {
Rate strike = arguments_.capRates[i];
if (sqrtTime>0.0) {
stdDevs[i] = std::sqrt(
volatility_->totalVariance(fixingDate, strike, Period(0,Days)));
}
// sttDev=0 for already-fixed dates so everything on forward
values[i] = optionletImpl(Option::Call, strike,
forward, stdDevs[i], d);
}
if (type == YoYInflationCapFloor::Floor || type == YoYInflationCapFloor::Collar) {
Rate strike = arguments_.floorRates[i];
if (sqrtTime>0.0) {
stdDevs[i] = std::sqrt(
volatility_->totalVariance(fixingDate, strike, Period(0,Days)));
}
Real floorlet = optionletImpl(Option::Put, strike,
forward, stdDevs[i], d);
if (type == YoYInflationCapFloor::Floor) {
values[i] = floorlet;
} else {
// a collar is long a cap and short a floor
values[i] -= floorlet;
}
}
value += values[i];
}
}
results_.value = value;
results_.additionalResults["optionletsPrice"] = values;
results_.additionalResults["optionletsAtmForward"] = forwards;
if (type != YoYInflationCapFloor::Collar)
results_.additionalResults["optionletsStdDev"] = stdDevs;
}
