NonstandardSwap::NonstandardSwap(const VanillaSwap &fromVanilla)
: Swap(2), type_((VanillaSwap::Type)fromVanilla.type()),
fixedNominal_(std::vector<Real>(fromVanilla.fixedLeg().size(),
fromVanilla.nominal())),
floatingNominal_(std::vector<Real>(fromVanilla.floatingLeg().size(),
fromVanilla.nominal())),
fixedSchedule_(fromVanilla.fixedSchedule()),
fixedRate_(std::vector<Real>(fromVanilla.fixedLeg().size(),
fromVanilla.fixedRate())),
fixedDayCount_(fromVanilla.fixedDayCount()),
floatingSchedule_(fromVanilla.floatingSchedule()),
iborIndex_(fromVanilla.iborIndex()),
spread_(std::vector<Real>(fromVanilla.floatingLeg().size(), fromVanilla.spread())),
gearing_(std::vector<Real>(fromVanilla.floatingLeg().size(), 1.0)),
singleSpreadAndGearing_(true),
floatingDayCount_(fromVanilla.floatingDayCount()),
paymentConvention_(fromVanilla.paymentConvention()),
intermediateCapitalExchange_(false), finalCapitalExchange_(false) {
init();
}
void LgmSwaptionEngineAD::calculate() const {
// collect data needed for core computation routine
QL_REQUIRE(arguments_.settlementType == Settlement::Physical,
"cash-settled swaptions not yet implemented ...");
Date settlement = model_->termStructure()->referenceDate();
if (arguments_.exercise->dates().back() <=
settlement) { // swaption is expired, possibly generated swap is not
// valued
results_.value = 0.0;
return;
}
int idxMax = static_cast<int>(arguments_.exercise->dates().size()) - 1;
int minIdxAlive = static_cast<int>(
std::upper_bound(arguments_.exercise->dates().begin(),
arguments_.exercise->dates().end(), settlement) -
arguments_.exercise->dates().begin());
VanillaSwap swap = *arguments_.swap;
int callput = arguments_.type == VanillaSwap::Payer ? 1 : -1;
Schedule fixedSchedule = swap.fixedSchedule();
Schedule floatSchedule = swap.floatingSchedule();
Date expiry0;
std::vector<int> fix_startidxes, float_startidxes;
std::vector<Date> expiryDates;
for (int idx = minIdxAlive; idx <= idxMax; ++idx) {
expiry0 = arguments_.exercise->dates()[idx];
expiryDates.push_back(expiry0);
Size j1 = std::upper_bound(fixedSchedule.dates().begin(),
fixedSchedule.dates().end(), expiry0 - 1) -
fixedSchedule.dates().begin();
Size k1 = std::upper_bound(floatSchedule.dates().begin(),
floatSchedule.dates().end(), expiry0 - 1) -
floatSchedule.dates().begin();
fix_startidxes.push_back(j1);
float_startidxes.push_back(k1);
}
std::vector<double> float_mults, index_acctimes, float_spreads, fix_cpn;
std::vector<Date> floatt1Dates, floatt2Dates, floattpDates;
std::vector<Date> fixtpDates;
for (Size i = 0; i < arguments_.floatingFixingDates.size(); ++i) {
float_mults.push_back(arguments_.nominal *
arguments_.floatingAccrualTimes[i]);
float_spreads.push_back(arguments_.floatingSpreads[i]);
boost::shared_ptr<IborIndex> index = arguments_.swap->iborIndex();
Date d1 = index->valueDate(arguments_.floatingFixingDates[i]);
Date d2 = index->maturityDate(d1);
double acctime = index->dayCounter().yearFraction(d1, d2, d1, d2);
floatt1Dates.push_back(d1);
floatt2Dates.push_back(d2);
floattpDates.push_back(arguments_.floatingPayDates[i]);
index_acctimes.push_back(acctime);
}
for (Size i = 0; i < arguments_.fixedCoupons.size(); ++i) {
fix_cpn.push_back(arguments_.fixedCoupons[i]);
fixtpDates.push_back(arguments_.fixedPayDates[i]);
}
// join all dates and fill index vectors
std::vector<Date> allDates;
std::vector<double> allTimes; // with settlement as first entry !
std::vector<int> expiries, floatt1s, floatt2s, floattps, fixtps;
std::vector<double> modpar;
allDates.reserve(expiryDates.size() + floatt1Dates.size() +
floatt2Dates.size() + floattpDates.size() +
fixtpDates.size());
allTimes.reserve(allDates.size());
modpar.reserve(3 * allDates.size());
allDates.push_back(settlement);
allDates.insert(allDates.end(), expiryDates.begin(), expiryDates.end());
allDates.insert(allDates.end(), floatt1Dates.begin(), floatt1Dates.end());
allDates.insert(allDates.end(), floatt2Dates.begin(), floatt2Dates.end());
allDates.insert(allDates.end(), floattpDates.begin(), floattpDates.end());
allDates.insert(allDates.end(), fixtpDates.begin(), fixtpDates.end());
std::sort(allDates.begin(), allDates.end());
allDates.erase(unique(allDates.begin(), allDates.end()), allDates.end());
for (Size i = 0; i < allDates.size(); ++i) {
allTimes.push_back(
model_->termStructure()->timeFromReference(allDates[i]));
}
for (Size i = 0; i < allDates.size(); ++i) {
modpar.push_back(model_->parametrization()->H(allTimes[i]));
}
for (Size i = 0; i < allDates.size(); ++i) {
modpar.push_back(model_->parametrization()->zeta(allTimes[i]));
}
for (Size i = 0; i < allDates.size(); ++i) {
modpar.push_back(model_->termStructure()->discount(allTimes[i]));
}
for (Size i = 0; i < expiryDates.size(); ++i) {
expiries.push_back(
std::find(allDates.begin(), allDates.end(), expiryDates[i]) -
allDates.begin());
}
for (Size i = 0; i < floatt1Dates.size(); ++i) {
floatt1s.push_back(
std::find(allDates.begin(), allDates.end(), floatt1Dates[i]) -
allDates.begin());
}
for (Size i = 0; i < floatt2Dates.size(); ++i) {
floatt2s.push_back(
std::find(allDates.begin(), allDates.end(), floatt2Dates[i]) -
allDates.begin());
}
for (Size i = 0; i < floattpDates.size(); ++i) {
floattps.push_back(
std::find(allDates.begin(), allDates.end(), floattpDates[i]) -
allDates.begin());
}
for (Size i = 0; i < fixtpDates.size(); ++i) {
fixtps.push_back(
std::find(allDates.begin(), allDates.end(), fixtpDates[i]) -
allDates.begin());
}
// call core computation routine and set results
int ntimes = allTimes.size();
int nexpiries = expiries.size();
int nfloats = floatt1s.size();
int nfixs = fix_cpn.size();
double res = 0.0;
std::vector<Real> dres(3*ntimes);
int integration_pts = integrationPoints_;
double std_devs = stddevs_;
lgm_swaption_engine_ad_(&ntimes, &allTimes[0], &modpar[0], &nexpiries,
&expiries[0], &callput, &nfloats, &float_startidxes[0],
&float_mults[0], &index_acctimes[0], &float_spreads[0],
&floatt1s[0], &floatt2s[0], &floattps[0],
&fix_startidxes[0], &nfixs, &fix_cpn[0], &fixtps[0],
&integration_pts, &std_devs, &res, &dres[0]);
results_.value = res;
std::vector<Real> H_sensitivity(dres.begin(),dres.begin()+ntimes);
std::vector<Real> zeta_sensitivity(dres.begin()+ntimes,dres.begin()+2*ntimes);
std::vector<Real> discount_sensitivity(dres.begin()+2*ntimes,dres.begin()+3*ntimes);
results_.additionalResults["sensitivityTimes"] = allTimes;
results_.additionalResults["sensitivityH"] = H_sensitivity;
results_.additionalResults["sensitivityZeta"] = zeta_sensitivity;
results_.additionalResults["sensitivityDiscount"] = discount_sensitivity;
}
void BlackStyleSwaptionEngine<Spec>::calculate() const {
static const Spread basisPoint = 1.0e-4;
Date exerciseDate = arguments_.exercise->date(0);
// the part of the swap preceding exerciseDate should be truncated
// to avoid taking into account unwanted cashflows
VanillaSwap swap = *arguments_.swap;
Rate strike = swap.fixedRate();
// using the discounting curve
// swap.iborIndex() might be using a different forwarding curve
swap.setPricingEngine(boost::shared_ptr<PricingEngine>(new
DiscountingSwapEngine(discountCurve_, false)));
Rate atmForward = swap.fairRate();
// Volatilities are quoted for zero-spreaded swaps.
// Therefore, any spread on the floating leg must be removed
// with a corresponding correction on the fixed leg.
if (swap.spread()!=0.0) {
Spread correction = swap.spread() *
std::fabs(swap.floatingLegBPS()/swap.fixedLegBPS());
strike -= correction;
atmForward -= correction;
results_.additionalResults["spreadCorrection"] = correction;
} else {
results_.additionalResults["spreadCorrection"] = 0.0;
}
results_.additionalResults["strike"] = strike;
results_.additionalResults["atmForward"] = atmForward;
// using the discounting curve
swap.setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(discountCurve_, false)));
Real annuity;
switch(arguments_.settlementType) {
case Settlement::Physical: {
annuity = std::fabs(swap.fixedLegBPS())/basisPoint;
break;
}
case Settlement::Cash: {
const Leg& fixedLeg = swap.fixedLeg();
boost::shared_ptr<FixedRateCoupon> firstCoupon =
boost::dynamic_pointer_cast<FixedRateCoupon>(fixedLeg[0]);
DayCounter dayCount = firstCoupon->dayCounter();
Real fixedLegCashBPS =
CashFlows::bps(fixedLeg,
InterestRate(atmForward, dayCount, Compounded, Annual),
false, discountCurve_->referenceDate()) ;
annuity = std::fabs(fixedLegCashBPS/basisPoint);
break;
}
default:
QL_FAIL("unknown settlement type");
}
results_.additionalResults["annuity"] = annuity;
Time swapLength = vol_->swapLength(swap.floatingSchedule().dates().front(),
swap.floatingSchedule().dates().back());
results_.additionalResults["swapLength"] = swapLength;
Real variance = vol_->blackVariance(exerciseDate,
swapLength,
strike);
// once the deprecated methods allowing to override the displacement
// are gone, we can avoid this and directly read the displacement
// from the volatility structure
Real displacement = displacement_ == Null<Real>()
? vol_->shift(exerciseDate, swapLength)
: displacement_;
Real stdDev = std::sqrt(variance);
results_.additionalResults["stdDev"] = stdDev;
Option::Type w = (arguments_.type==VanillaSwap::Payer) ?
Option::Call : Option::Put;
results_.value = Spec().value(w, strike, atmForward, stdDev, annuity,
displacement);
Time exerciseTime = vol_->timeFromReference(exerciseDate);
results_.additionalResults["vega"] = Spec().vega(
strike, atmForward, stdDev, exerciseTime, annuity, displacement);
}
void Gaussian1dSwaptionEngine::calculate() const {
QL_REQUIRE(arguments_.settlementType == Settlement::Physical,
"cash-settled swaptions not yet implemented ...");
Date settlement = model_->termStructure()->referenceDate();
if (arguments_.exercise->dates().back() <=
settlement) { // swaption is expired, possibly generated swap is not
// valued
results_.value = 0.0;
return;
}
int idx = static_cast<int>(arguments_.exercise->dates().size()) - 1;
int minIdxAlive = static_cast<int>(
std::upper_bound(arguments_.exercise->dates().begin(),
arguments_.exercise->dates().end(), settlement) -
arguments_.exercise->dates().begin());
VanillaSwap swap = *arguments_.swap;
Option::Type type =
arguments_.type == VanillaSwap::Payer ? Option::Call : Option::Put;
Schedule fixedSchedule = swap.fixedSchedule();
Schedule floatSchedule = swap.floatingSchedule();
Array npv0(2 * integrationPoints_ + 1, 0.0),
npv1(2 * integrationPoints_ + 1, 0.0);
Array z = model_->yGrid(stddevs_, integrationPoints_);
Array p(z.size(), 0.0);
Date expiry1 = Null<Date>(), expiry0;
Time expiry1Time = Null<Real>(), expiry0Time;
do {
if (idx == minIdxAlive - 1)
expiry0 = settlement;
else
expiry0 = arguments_.exercise->dates()[idx];
expiry0Time = std::max(
model_->termStructure()->timeFromReference(expiry0), 0.0);
Size j1 =
std::upper_bound(fixedSchedule.dates().begin(),
fixedSchedule.dates().end(), expiry0 - 1) -
fixedSchedule.dates().begin();
Size k1 =
std::upper_bound(floatSchedule.dates().begin(),
floatSchedule.dates().end(), expiry0 - 1) -
floatSchedule.dates().begin();
// a lazy object is not thread safe, neither is the caching
// in gsrprocess. therefore we trigger computations here such
// that neither lazy object recalculation nor write access
// during caching occurs in the parallized loop below.
// this is known to work for the gsr and markov functional
// model implementations of Gaussian1dModel
#ifdef _OPENMP
if (expiry0 > settlement) {
for (Size l = k1; l < arguments_.floatingCoupons.size(); l++) {
model_->forwardRate(arguments_.floatingFixingDates[l],
expiry0, 0.0,
arguments_.swap->iborIndex());
model_->zerobond(arguments_.floatingPayDates[l], expiry0,
0.0, discountCurve_);
}
for (Size l = j1; l < arguments_.fixedCoupons.size(); l++) {
model_->zerobond(arguments_.fixedPayDates[l], expiry0, 0.0,
discountCurve_);
}
model_->numeraire(expiry0Time, 0.0, discountCurve_);
}
#endif
#pragma omp parallel for default(shared) firstprivate(p) if(expiry0>settlement)
for (Size k = 0; k < (expiry0 > settlement ? npv0.size() : 1);
k++) {
Real price = 0.0;
if (expiry1Time != Null<Real>()) {
Array yg = model_->yGrid(stddevs_, integrationPoints_,
expiry1Time, expiry0Time,
expiry0 > settlement ? z[k] : 0.0);
CubicInterpolation payoff0(
z.begin(), z.end(), npv1.begin(),
CubicInterpolation::Spline, true,
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);
for (Size i = 0; i < yg.size(); i++) {
p[i] = payoff0(yg[i], true);
}
CubicInterpolation payoff1(
z.begin(), z.end(), p.begin(),
CubicInterpolation::Spline, true,
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);
for (Size i = 0; i < z.size() - 1; i++) {
price += model_->gaussianShiftedPolynomialIntegral(
0.0, payoff1.cCoefficients()[i],
payoff1.bCoefficients()[i],
payoff1.aCoefficients()[i], p[i], z[i], z[i],
z[i + 1]);
}
if (extrapolatePayoff_) {
if (flatPayoffExtrapolation_) {
price += model_->gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[z.size() - 2],
z[z.size() - 2], z[z.size() - 1], 100.0);
price += model_->gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[0], z[0], -100.0, z[0]);
} else {
if (type == Option::Call)
price +=
model_->gaussianShiftedPolynomialIntegral(
0.0,
payoff1.cCoefficients()[z.size() - 2],
payoff1.bCoefficients()[z.size() - 2],
payoff1.aCoefficients()[z.size() - 2],
p[z.size() - 2], z[z.size() - 2],
z[z.size() - 1], 100.0);
if (type == Option::Put)
price +=
model_->gaussianShiftedPolynomialIntegral(
0.0, payoff1.cCoefficients()[0],
payoff1.bCoefficients()[0],
payoff1.aCoefficients()[0], p[0], z[0],
-100.0, z[0]);
}
}
}
npv0[k] = price;
if (expiry0 > settlement) {
Real floatingLegNpv = 0.0;
for (Size l = k1; l < arguments_.floatingCoupons.size();
l++) {
floatingLegNpv +=
arguments_.nominal *
arguments_.floatingAccrualTimes[l] *
(arguments_.floatingSpreads[l] +
model_->forwardRate(
arguments_.floatingFixingDates[l], expiry0,
z[k], arguments_.swap->iborIndex())) *
model_->zerobond(arguments_.floatingPayDates[l],
expiry0, z[k], discountCurve_);
}
Real fixedLegNpv = 0.0;
for (Size l = j1; l < arguments_.fixedCoupons.size(); l++) {
fixedLegNpv +=
arguments_.fixedCoupons[l] *
model_->zerobond(arguments_.fixedPayDates[l],
expiry0, z[k], discountCurve_);
}
npv0[k] = std::max(npv0[k],
(type == Option::Call ? 1.0 : -1.0) *
(floatingLegNpv - fixedLegNpv) /
model_->numeraire(expiry0Time, z[k],
discountCurve_));
}
}
npv1.swap(npv0);
expiry1 = expiry0;
expiry1Time = expiry0Time;
} while (--idx >= minIdxAlive - 1);
results_.value = npv1[0] * model_->numeraire(0.0, 0.0, discountCurve_);
}