boost::shared_ptr<HazardRateStructure> qlHazardRateFactory::hazardRateTS(TiXmlNode* node)
{
boost::shared_ptr<HazardRateStructure> hazardCurve;
Date referenceDate = Settings::instance().evaluationDate();
std::vector<boost::shared_ptr<DefaultProbabilityHelper> > instruments;
qlCalendarFactory calFactory = qlCalendarFactory();
qlTimeUnitFactory timeUnitFactory = qlTimeUnitFactory();
qlYieldTermStructureFactory tsFactory = qlYieldTermStructureFactory();
Calendar calendar = calFactory.calendar(node->FirstChildElement("calendar")->GetText());
Real recoveryRate = strToDouble(node->FirstChildElement("recoveryRate")->GetText());
TiXmlElement* rateNode = node->FirstChildElement("rateData");
std::vector<Period> periods;
std::vector<Real> spreadRates;
if(rateNode)
{
for(rateNode; rateNode; rateNode = rateNode->NextSiblingElement("rateData"))
{
periods.push_back(timeUnitFactory.timeUnit(rateNode));
spreadRates.push_back(strToDouble(rateNode->FirstChildElement("data")->GetText()));
}
}
for (Size i=0; i<periods.size(); i++) {
instruments.push_back(boost::shared_ptr<DefaultProbabilityHelper>(
new SpreadCdsHelper(
Handle<Quote>(boost::shared_ptr<Quote>(
new SimpleQuote(spreadRates[i]))),
periods[i],
0,
calendar,
Quarterly,
Following,
DateGeneration::TwentiethIMM,
Actual365Fixed(),
recoveryRate,
tsCurve_)));
}
// Bootstrap hazard rates
std::string curveType = "HazardRate";
std::string interpolationType = "BackwardFlat";
boost::shared_ptr<PiecewiseDefaultCurve<HazardRate, BackwardFlat> >
hazardRateStructure(
new PiecewiseDefaultCurve<HazardRate, BackwardFlat>(
referenceDate,
instruments,
Actual365Fixed()));
return hazardCurve;
}
boost::shared_ptr<SmileSection>
SwaptionVolCube2::smileSectionImpl(const Date& optionDate,
const Period& swapTenor) const {
calculate();
Rate atmForward = atmStrike(optionDate, swapTenor);
Volatility atmVol = atmVol_->volatility(optionDate,
swapTenor,
atmForward);
Time optionTime = timeFromReference(optionDate);
Real exerciseTimeSqrt = std::sqrt(optionTime);
std::vector<Real> strikes, stdDevs;
strikes.reserve(nStrikes_);
stdDevs.reserve(nStrikes_);
Time length = swapLength(swapTenor);
for (Size i=0; i<nStrikes_; ++i) {
strikes.push_back(atmForward + strikeSpreads_[i]);
stdDevs.push_back(exerciseTimeSqrt*(
atmVol + volSpreadsInterpolator_[i](length, optionTime)));
}
Real shift = atmVol_->shift(optionTime,length);
return boost::shared_ptr<SmileSection>(new
InterpolatedSmileSection<Linear>(optionTime,
strikes,
stdDevs,
atmForward,
Linear(),
Actual365Fixed(),
volatilityType(),
shift));
}
void SimpleRangeAccrualRateETI::initializeImpl(const TimeGrid& timeGrid,
const boost::shared_ptr<YieldTermStructure>& discountCurve,
const boost::shared_ptr<PathGeneratorFactory>& pathGenFactory)
{
referenceCalculation_->initialize(timeGrid,discountCurve,pathGenFactory);
this->payoffDateInfo_->initialize(timeGrid,discountCurve,pathGenFactory);
this->rangeNum_ = simpleRangeRateList_.size();
this->assetNum_ = pathGenFactory->numAssets();
Date today = Settings::instance().evaluationDate();
DayCounter dayCounter = Actual365Fixed();
double fixingStartTime = dayCounter.yearFraction( today , calculationStartDate_ );
Size fixingStartPosition = timeGrid.closestIndex(fixingStartTime);
double fixingEndTime = dayCounter.yearFraction( today , calculationEndDate_ );
Size fixingEndPosition = timeGrid.closestIndex(fixingEndTime);
Size fixingSize = fixingEndPosition - fixingStartPosition;
this->fixingDatePositions_ = std::valarray<Size>(fixingSize);
for ( Size position = 0 ; fixingSize ; position++ )
{
fixingDatePositions_[position] = fixingStartPosition + position;
}
for ( Size rng = 0 ; this->rangeNum_ ; rng++ )
{
simpleRangeRateList_[rng]->initialize(timeGrid,discountCurve,pathGenFactory);
}
}
DayCounter ComponentMust::eff_convert_basis(std::string basis) const
{
//cette fonction fait la conversion
//de la convention de calcul (basis) de type string lue de XML de MUST
// daycounter;
if (basis == "A360")
return Actual360();
if (basis == "A365")
return Actual365Fixed();
if (basis == "Actual")
return ActualActual();
if (basis == "Daily Price")
return OneDayCounter();
if (basis == "Business 252")
return Business252();
if (basis == "JGB")
return Actual365NoLeap();
if (basis == "30/360")
return Thirty360(Thirty360::EurobondBasis);
return Thirty360();
}
void CompositeSumOptionPricer::initializeImpl(const TimeGrid& timeGrid,
const boost::shared_ptr<YieldTermStructure>& discountCurve,
const boost::shared_ptr<PathGeneratorFactory>& pathGenFactory)
{
//this->referenceCal_->initialize(timeGrid,discountCurve);
for (Size i=0 ; i < optionListNum_ ; i++)
{
optionList_[i]->initialize(timeGrid,discountCurve,pathGenFactory);
}
this->payoffDateInfo_->initialize(timeGrid,discountCurve,pathGenFactory);
Date today = Settings::instance().evaluationDate();
DayCounter dayCounter = Actual365Fixed();
//this->discount_ = Array(1);
//double payoffTime = dayCounter.yearFraction( today , payoffDateInfo_-> );
//payoffDatePositions_[0] = timeGrid.closestIndex(payoffTime);
//discount_[0] = discountCurve->discount(payoffTime);
}
ScenarioGenerator(const Calendar &calendar = NullCalendar(),
const DayCounter &dc = Actual365Fixed())
: calendar_(calendar), dc_(dc), pathNumber_(0), validPath_(true),
validHorizonDate_(true) {
resetHorizonDate();
baseDate_ = horizonDate_;
}
DailyTenorGBPLibor(Natural settlementDays,
const Handle<YieldTermStructure>& h =
Handle<YieldTermStructure>())
: DailyTenorLibor("GBPLibor", settlementDays,
GBPCurrency(),
UnitedKingdom(UnitedKingdom::Exchange),
Actual365Fixed(), h) {}
GBPLibor(const Period& tenor,
const Handle<YieldTermStructure>& h =
Handle<YieldTermStructure>())
: Libor("GBPLibor", tenor,
0,
GBPCurrency(),
UnitedKingdom(UnitedKingdom::Exchange),
Actual365Fixed(), h) {}
Euribor365::Euribor365(const Period& tenor,
const Handle<YieldTermStructure>& h)
: IborIndex("Euribor365", tenor,
2, // settlement days
EURCurrency(), TARGET(),
euriborConvention(tenor), euriborEOM(tenor),
Actual365Fixed(), h) {
QL_REQUIRE(this->tenor().units()!=Days,
"for daily tenors (" << this->tenor() <<
") dedicated DailyTenor constructor must be used");
}
THBFIX(const Period& tenor,
const Handle<YieldTermStructure>& h =
Handle<YieldTermStructure>())
: IborIndex("THBFIX", tenor,
2,
THBCurrency(),
JointCalendar(UnitedKingdom(UnitedKingdom::Exchange),
JointCalendar(UnitedStates(UnitedStates::LiborImpact),
Thailand())),
ModifiedFollowing, true,
Actual365Fixed(), h) {}
boost::shared_ptr<BlackVolTermStructure> ProcessInfo::ProcessParser_Impl::
make_vol_ts(const std::string& keyName,
std::map<std::string, std::string>& variable_map,
std::map<std::string, std::vector<std::string>>& variable_array_map,
std::map<std::string, Matrix>& variable_matrix_map)
{
boost::shared_ptr<BlackVolTermStructure> vol_ts;
Date refDate = Settings::instance().evaluationDate();
const std::string& vol_type = "TYPE";
if (variable_map.find(keyName) != variable_map.end())
{
double value = std::stod(variable_map[keyName]);
vol_ts = boost::shared_ptr<BlackConstantVol>(
new BlackConstantVol(refDate, NullCalendar(), value, Actual365Fixed()));
return vol_ts;
}
vol_ts = boost::shared_ptr<BlackConstantVol>(
new BlackConstantVol(refDate, NullCalendar(), 0.3, Actual365Fixed()));
//if (vol_type == "CONSTANT")
//{
// vol_ts = boost::shared_ptr<BlackConstantVol>(
// new BlackConstantVol(refDate, NullCalendar(), 0.3, Actual365Fixed()));
//}
//else if (vol_type == "CURVE")
//{
//}
//else if (vol_type == "SURFACE")
//{
//}
//else
//{
//}
return vol_ts;
}
MakeCapFloor::MakeCapFloor(CapFloor::Type capFloorType,
const Period& tenor,
const shared_ptr<IborIndex>& iborIndex,
Rate strike,
const Period& forwardStart)
: capFloorType_(capFloorType), strike_(strike),
firstCapletExcluded_(forwardStart==0*Days), asOptionlet_(false),
// setting the fixed leg tenor avoids that MakeVanillaSwap throws
// because of an unknown fixed leg default tenor for a currency,
// notice that only the floating leg of the swap is used anyway
makeVanillaSwap_(MakeVanillaSwap(tenor, iborIndex, 0.0, forwardStart)
.withFixedLegTenor(1*Years).withFixedLegDayCount(Actual365Fixed())) {}
Bbsw(const Period& tenor,
const Handle<YieldTermStructure>& h =
Handle<YieldTermStructure>())
: IborIndex("Bbsw", tenor,
0, // settlement days
AUDCurrency(), Australia(),
HalfMonthModifiedFollowing, true,
Actual365Fixed(), h) {
QL_REQUIRE(this->tenor().units() != Days,
"for daily tenors (" << this->tenor() <<
") dedicated DailyTenor constructor must be used");
}
BlackScholesProcess::BlackScholesProcess(
const Handle<Quote>& x0,
const Handle<YieldTermStructure>& riskFreeTS,
const Handle<BlackVolTermStructure>& blackVolTS,
const boost::shared_ptr<discretization>& d)
: GeneralizedBlackScholesProcess(
x0,
// no dividend yield
Handle<YieldTermStructure>(boost::shared_ptr<YieldTermStructure>(
new FlatForward(0, NullCalendar(), 0.0, Actual365Fixed()))),
riskFreeTS,
blackVolTS,
d) {}
Real SwaptionHelper::blackPrice(Volatility sigma) const {
calculate();
Handle<Quote> vol(boost::shared_ptr<Quote>(new SimpleQuote(sigma)));
boost::shared_ptr<PricingEngine> engine;
switch(volatilityType_) {
case ShiftedLognormal:
engine = boost::make_shared<BlackSwaptionEngine>(
termStructure_, vol, Actual365Fixed(), shift_);
break;
case Normal:
engine = boost::make_shared<BachelierSwaptionEngine>(
termStructure_, vol, Actual365Fixed());
break;
default:
QL_FAIL("can not construct engine: " << volatilityType_);
break;
}
swaption_->setPricingEngine(engine);
Real value = swaption_->NPV();
swaption_->setPricingEngine(engine_);
return value;
}
MurexCurve::MurexCurve(Date referenceDate,
vector<Date> maturities,
vector<double> discounts,
long interpolationMode
) : refDate_(referenceDate),maturities_(maturities),discounts_(discounts),interpolationMode_(interpolationMode)
{
QL_REQUIRE(maturities.size()==discounts.size(),"Maturities size (" << maturities.size() << ") must match discounts size (" << discounts.size() << ")");
QL_REQUIRE(interpolationMode_==0 || interpolationMode_==1,"Interpolation Mode (" << interpolationMode_ << ") must be 0 or 1.");
dc_=Actual365Fixed();
n_=maturities.size()+1;
times_=vector<double>(n_);
rates_=vector<double>(n_);
calculate();
}
GbpLiborSwapIsdaFix::GbpLiborSwapIsdaFix(
const Period& tenor,
const Handle<YieldTermStructure>& h)
: SwapIndex("GbpLiborSwapIsdaFix", // familyName
tenor,
0, // settlementDays
GBPCurrency(),
UnitedKingdom(UnitedKingdom::Exchange),
tenor > 1*Years ? // fixedLegTenor
6*Months : 1*Years,
ModifiedFollowing, // fixedLegConvention
Actual365Fixed(), // fixedLegDaycounter
tenor > 1*Years ?
shared_ptr<IborIndex>(new GBPLibor(6*Months, h)) :
shared_ptr<IborIndex>(new GBPLibor(3*Months, h))) {}
boost::shared_ptr<YieldTermStructure> ProcessInfo::ProcessParser_Impl::make_yield_ts(
const std::string& keyName,
std::map<std::string, std::string>& variable_map,
std::map<std::string, std::vector<std::string>>& variable_array_map,
std::map<std::string, Matrix>& variable_matrix_map)
{
Date refDate = Settings::instance().evaluationDate();
boost::shared_ptr<YieldTermStructure> yield_ts;
if (variable_map.find(keyName) != variable_map.end())
{
double value = std::stod(variable_map[keyName]);
yield_ts = boost::shared_ptr<YieldTermStructure>(new FlatForward(refDate, value, Actual365Fixed()));
return yield_ts;
}
std::string tenor_key = keyName + "_CURVE_TENOR";
std::string value_key = keyName + "_CURVE_VALUE";
std::string interpolation_key = keyName + "_CURVE_INTERPOLATION";
if (variable_array_map.find(tenor_key) == variable_array_map.end())
QL_FAIL(tenor_key << " does not exist.");
if (variable_array_map.find(value_key) == variable_array_map.end())
QL_FAIL(value_key << " does not exist.");
std::vector<std::string> periods = variable_array_map[tenor_key];
std::vector<std::string> values = variable_array_map[value_key];
std::vector<Real> data;
// converting
for (Size i = 0; i < values.size(); i++)
data.push_back(std::stod(values[i]));
QL_REQUIRE(periods.size() == data.size(), "tenor size must be same to value size");
std::string interpolatedID = "LINEAR";
if (variable_map.find(interpolation_key) != variable_map.end())
interpolatedID = variable_map[interpolation_key];
//QL_DEBUG(tenor_key << " does not exist. Linear interpolation is used");
yield_ts = CurveManager::instance().get_yield_curve(refDate, periods, data, interpolatedID);
return yield_ts;
}
IBFRSwap::IBFRSwap(Type type,
Real nominal,
Date startDate,
Period swapTenor,
Period paymentTenor,
Rate fixedRate,
Rate rateSpread,
const boost::shared_ptr<RepoChina>& iborIndex)
:RepoCompoundingSwap(type, nominal,
Schedule(startDate, startDate + swapTenor, paymentTenor, China(), ModifiedFollowing, ModifiedFollowing, DateGeneration::Backward, false),
fixedRate,
Actual365Fixed(),
Schedule(startDate, startDate + swapTenor, paymentTenor, China(), ModifiedFollowing, ModifiedFollowing, DateGeneration::Backward, false),
iborIndex,
rateSpread,
0.0,
Actual360(),
Following) {}
Real InterpolatedYoYOptionletStripper<Interpolator1D>::
ObjectiveFunction::operator()(Volatility guess) const {
vvec_[1] = guess;
vvec_[0] = guess - slope_ * (tvec_[1] - tvec_[0]) * guess;
// could have Interpolator1D instead of Linear
boost::shared_ptr<InterpolatedYoYOptionletVolatilityCurve<Linear> >
vCurve(
new InterpolatedYoYOptionletVolatilityCurve<Linear>(
0, TARGET(), ModifiedFollowing,
Actual365Fixed(), lag_,
frequency_, indexIsInterpolated_,
dvec_, vvec_,
-1.0, 3.0) ); // strike limits
Handle<YoYOptionletVolatilitySurface> hCurve(vCurve);
p_->setVolatility(hCurve);
// hopefully this gets to the pricer ... then
return priceToMatch_ - capfloor_.NPV();
}
boost::shared_ptr<SmileSection>
StrippedOptionletAdapter::smileSectionImpl(Time t) const {
std::vector< Rate > optionletStrikes =
optionletStripper_->optionletStrikes(
0); // strikes are the same for all times ?!
std::vector< Real > stddevs;
for (Size i = 0; i < optionletStrikes.size(); i++) {
stddevs.push_back(volatilityImpl(t, optionletStrikes[i]) *
std::sqrt(t));
}
// Extrapolation may be a problem with splines, but since minStrike()
// and maxStrike() are set, we assume that no one will use stddevs for
// strikes outside these strikes
CubicInterpolation::BoundaryCondition bc =
optionletStrikes.size() >= 4 ? CubicInterpolation::Lagrange
: CubicInterpolation::SecondDerivative;
return boost::make_shared< InterpolatedSmileSection< Cubic > >(
t, optionletStrikes, stddevs, Null< Real >(),
Cubic(CubicInterpolation::Spline, false, bc, 0.0, bc, 0.0),
Actual365Fixed(), volatilityType(), displacement());
}
void SimpleRangeRateETI::initializeImpl(const TimeGrid& timeGrid,
const boost::shared_ptr<YieldTermStructure>& discountCurve,
const boost::shared_ptr<PathGeneratorFactory>& pathGenFactory)
{
this->payoffDateInfo_->initialize(timeGrid,discountCurve,pathGenFactory);
for ( Size i=0 ; i < simpleRangeEventList_.size() ; i++ )
{
simpleRangeEventList_[i]->initialize(timeGrid,discountCurve,pathGenFactory);
}
this->rangeNum_ = simpleRangeEventList_.size();
this->assetNum_ = pathGenFactory->numAssets();
Date today = Settings::instance().evaluationDate();
DayCounter dayCounter = Actual365Fixed();
double calculationYearFrac = 0.0;
if ( today < calculationEndDate_ )
{
calculationYearFrac = dayCounter.yearFraction( calculationStartDate_ , calculationEndDate_ );
}
//if ( today < calculationStart_ )
//{
// calculationYearFrac = dayCounter.yearFraction( calculationStart_ , calculationEnd_ );
//}
//else if ( today > calculationEnd_ )
//{
// calculationYearFrac = 0.0;//dayCounter.yearFraction( today , calculationEnd_ );
//}
//else {}
this->yearFrac_ = calculationYearFrac;
}
ClonedYieldTermStructure::ClonedYieldTermStructure(
const boost::shared_ptr<YieldTermStructure> &source,
const ReactionToTimeDecay reactionToTimeDecay, const Processing processing,
const Calendar calendar)
: YieldTermStructure(source->dayCounter()),
reactionToTimeDecay_(reactionToTimeDecay), processing_(processing),
originalEvalDate_(Settings::instance().evaluationDate()),
originalReferenceDate_(Date(source->referenceDate())),
originalMaxDate_(source->maxDate()) {
calendar_ = calendar.empty() ? source->calendar() : calendar;
QL_REQUIRE(!calendar_.empty() || reactionToTimeDecay_ == FixedReferenceDate,
"a floating termstructure needs a calendar, none given and "
"source termstructures' calendar is empty, too");
referenceDate_ = originalReferenceDate_;
maxDate_ = originalMaxDate_;
offset_ = 0.0;
valid_ = true;
instFwdMax_ =
source->forwardRate(maxDate_, maxDate_, Actual365Fixed(), Continuous)
.rate();
if (reactionToTimeDecay != FixedReferenceDate) {
QL_REQUIRE(originalReferenceDate_ >= originalEvalDate_,
"to construct a moving term structure the source term "
"structure must have a reference date ("
<< originalReferenceDate_
<< ") after the evaluation date ("
<< originalEvalDate_
<< ")");
try {
impliedSettlementDays_ = source->settlementDays();
} catch (...) {
// if the source ts has no settlement days we imply
// them from the difference of the original reference
// date and the original evaluation date
impliedSettlementDays_ = this->calendar().businessDaysBetween(
originalEvalDate_, originalReferenceDate_);
}
}
logDiscounts_.resize(originalMaxDate_.serialNumber() -
originalReferenceDate_.serialNumber() + 1);
times_.resize(logDiscounts_.size());
for (BigInteger i = 0; i <= originalMaxDate_.serialNumber() -
originalReferenceDate_.serialNumber();
++i) {
Date d = Date(originalReferenceDate_.serialNumber() + i);
logDiscounts_[i] = std::log(source->discount(d));
times_[i] = timeFromReference(d);
if (processing == PositiveYieldsAndForwards) {
logDiscounts_[i] = std::min(0.0, logDiscounts_[i]);
}
if (processing == PositiveForwards ||
processing == PositiveYieldsAndForwards) {
if (i > 0)
logDiscounts_[i] = std::min(logDiscounts_[i - 1], logDiscounts_[i]);
}
}
if (reactionToTimeDecay_ != FixedReferenceDate) {
registerWith(Settings::instance().evaluationDate());
}
}
Jibar(const Period& tenor,
const Handle<YieldTermStructure>& h =
Handle<YieldTermStructure>())
: IborIndex("Jibar", tenor, 0, ZARCurrency(),
SouthAfrica(), ModifiedFollowing, false,
Actual365Fixed(), h) {}
void qlMultiAssetCompositeOptionFactory::factoryMultiAssetCompositeOption()
{
//TiXmlText* rootNode = new TiXmlText(instInfo_.c_str());
TiXmlDocument document;
document.Parse(instInfo_.c_str(), 0, TIXML_ENCODING_UTF8);
//rootNode.SetValue;
TiXmlNode* instNode = document.FirstChild("instrument");
std::string code = instNode->FirstChild("code")->ToElement()->GetText();
FpmlSerialized::Instrument xml_instrument = FpmlSerialized::Instrument(instNode);
//boost::shared_ptr<FpmlSerialized::InstPositionInfo> xml_positionInfo = xml_instrument.getInstPositionInfo();
//this->krCode_ = xml_positionInfo->getKrCode()->SValue();
boost::shared_ptr<FpmlSerialized::Excel_interface> xml_interface = xml_instrument.getExcel_interface();
boost::shared_ptr<FpmlSerialized::Excel_multiAssetCompositeOption> xml_multiAssetCompOption = xml_interface->getExcel_multiAssetCompositeOption();
DayCounter daycounter = Actual365Fixed();
Calendar calendar = SouthKorea(); // ?
boost::shared_ptr<FpmlSerialized::Excel_noteInfo> xml_noteInfo = xml_multiAssetCompOption->getExcel_issueInfo()->getExcel_noteInfo();
//Date tradeDate = xml_noteInfo->getTradeDate()->dateValue();
Date effectiveDate = xml_noteInfo->getEffectiveDate()->dateValue();
Date maturityDate = xml_noteInfo->getMaturityDate()->dateValue();
notional_ = xml_noteInfo->getNotional()->DValue();
std::vector<boost::shared_ptr<FpmlSerialized::Excel_multiAsset_compositeOption_subtype>> xml_multiAssetCompOptionSubList = xml_multiAssetCompOption->getExcel_multiAsset_compositeOption_subtype();
std::vector<boost::shared_ptr<QuantLib::EventTriggerInfo>> ql_etiList;
qlEventTriggerInfoFactory qetif = qlEventTriggerInfoFactory();
for(Size i = 0 ; i<xml_multiAssetCompOptionSubList.size(); ++i )
{
const boost::shared_ptr<EventTriggerInfo>& ql_eti
= qetif.multiAssetCompOptionSubType(xml_multiAssetCompOptionSubList[i]);
ql_etiList.push_back(ql_eti);
}
qlFixingDateInfoFactory ql_fdf = qlFixingDateInfoFactory();
Real notionalPayment = xml_multiAssetCompOption->getNotionalMaturityPayment()->DValue();
Date notionalPayment_PayoffDate = xml_multiAssetCompOption->getPayoffDate()->dateValue();
const boost::shared_ptr<QuantLib::FixingDateInfo>& ql_fdi = ql_fdf.fixingDateInfo(notionalPayment_PayoffDate);
/*const boost::shared_ptr<MCPricer>& pricer*/
this->pricer_ = boost::shared_ptr<CompositeSumOptionPricer>(
new CompositeSumOptionPricer(notionalPayment,
ql_fdi,
ql_etiList));
// --------------------------------- Engine ---------------------------------------------
//boost::shared_ptr<FpmlSerialized::Excel_underlyingCalcInfo_para> xml_underlyingCalcInfo_para = xml_hifive->getExcel_underlyingCalcInfo();
const boost::shared_ptr<NoteInst>& noteInst
= boost::shared_ptr<NoteInst>(
new NoteInst(code,notional_,
effectiveDate,
maturityDate,
daycounter,
calendar));
this->engine_ = engine();
noteInst->setPricingEngine(this->engine_);
this->instrument_ = noteInst;
//std::cout << "Start" << std::endl;
//inst_->setPricingEngine(elsEngine);
//std::cout << "Eu price : " << els100.NPV() << std::endl;
//std::cout << "Calculation End" << std::endl;
}
boost::shared_ptr<SwaptionVolatilityStructure> ProcessInfo::ProcessParser_Impl::
make_swaption_vol_ts(std::map<std::string, std::string>& variable_map,
std::map<std::string, std::vector<std::string>>& variable_array_map,
std::map<std::string, Matrix>& variable_matrix_map)
{
boost::shared_ptr<SwaptionVolatilityStructure> swaption_vol_ts;
Date refDate = Settings::instance().evaluationDate();
const Calendar& calendar = NullCalendar();
BusinessDayConvention bdc = BusinessDayConvention::ModifiedFollowing;
DayCounter daycounter = Actual365Fixed();
std::string type_key = "SWAPTION_TYPE";
if (variable_map.find(type_key) == variable_map.end())
QL_FAIL(type_key << " does not exist.");
std::string vol_type = variable_map[type_key];
if (vol_type == "CONSTANT")
{
std::string swaption_flat_vol_key = "SWAP_VOL_CONSTANT";
if (variable_array_map.find(swaption_flat_vol_key) == variable_array_map.end())
QL_FAIL(swaption_flat_vol_key << " does not exist.");
Real flatVol = 0.0;
swaption_vol_ts = boost::shared_ptr<SwaptionVolatilityStructure>(
new ConstantSwaptionVolatility(refDate, calendar, bdc, flatVol, daycounter));
}
else if (vol_type == "SURFACE")
{
std::string optionTenor_key = "SWAPTION_VOL_SURFACE_OPTIONTENOR";
std::string swapTenor_key = "SWAPTION_VOL_SURFACE_SWAPTENOR";
std::string value_key = "SWAPTION_VOL_SURFACE_VALUE";
if (variable_array_map.find(optionTenor_key) == variable_array_map.end())
QL_FAIL(optionTenor_key << " does not exist.");
if (variable_array_map.find(swapTenor_key) == variable_array_map.end())
QL_FAIL(swapTenor_key << " does not exist.");
if (variable_matrix_map.find(value_key) == variable_matrix_map.end())
QL_FAIL(value_key << " does not exist.");
std::vector<std::string> optionTenors = variable_array_map[optionTenor_key];
std::vector<std::string> swapTenors = variable_array_map[swapTenor_key];
Matrix value_matrix = variable_matrix_map[value_key];
std::vector<Period> optionPeriod_data;
std::vector<Period> swapPeriod_data;
for (Size i = 0; i < optionTenors.size(); i++)
optionPeriod_data.push_back(PeriodParser::parse(optionTenors[i]));
for (Size i = 0; i < swapTenors.size(); i++)
swapPeriod_data.push_back(PeriodParser::parse(swapTenors[i]));
// converting
QL_REQUIRE(optionTenors.size() * swapTenors.size() == value_matrix.rows() * value_matrix.columns(), "tenor * strike must be same to value matrix size");
//std::string interpolatedID = "LINEAR";
//if (variable_map.find(interpolation_key) != variable_map.end())
// interpolatedID = variable_map[interpolation_key];
//QL_DEBUG(tenor_key << " does not exist. Linear interpolation is used");
swaption_vol_ts = boost::shared_ptr<SwaptionVolatilityStructure>(
new SwaptionVolatilityMatrix(refDate, calendar, bdc,
optionPeriod_data,
swapPeriod_data,
value_matrix,
daycounter));
}
else if (vol_type == "CUBE")
{
QL_FAIL("not implemeted");
}
else
{
}
return swaption_vol_ts;
}
explicit Aonia(const Handle<YieldTermStructure>& h =
Handle<YieldTermStructure>())
: OvernightIndex("Aonia", 0, AUDCurrency(),
Australia(),
Actual365Fixed(), h) {}
void VannaVolgaDoubleBarrierEngine::calculate() const {
const Real sigmaShift_vega = 0.001;
const Real sigmaShift_volga = 0.0001;
const Real spotShift_delta = 0.0001 * spotFX_->value();
const Real sigmaShift_vanna = 0.0001;
Handle<Quote> x0Quote( //used for shift
boost::make_shared<SimpleQuote>(spotFX_->value()));
Handle<Quote> atmVolQuote( //used for shift
boost::make_shared<SimpleQuote>(atmVol_->value()));
boost::shared_ptr<BlackVolTermStructure> blackVolTS =
boost::make_shared<BlackConstantVol>(
Settings::instance().evaluationDate(),
NullCalendar(), atmVolQuote, Actual365Fixed());
boost::shared_ptr<BlackScholesMertonProcess> stochProcess =
boost::make_shared<BlackScholesMertonProcess>(
x0Quote,
foreignTS_,
domesticTS_,
Handle<BlackVolTermStructure>(blackVolTS));
boost::shared_ptr<PricingEngine> engineBS =
boost::make_shared<AnalyticDoubleBarrierEngine>(stochProcess,
series_);
BlackDeltaCalculator blackDeltaCalculatorAtm(
Option::Call, atmVol_->deltaType(), x0Quote->value(),
domesticTS_->discount(T_), foreignTS_->discount(T_),
atmVol_->value() * sqrt(T_));
Real atmStrike = blackDeltaCalculatorAtm.atmStrike(atmVol_->atmType());
Real call25Vol = vol25Call_->value();
Real put25Vol = vol25Put_->value();
BlackDeltaCalculator blackDeltaCalculatorPut25(
Option::Put, vol25Put_->deltaType(), x0Quote->value(),
domesticTS_->discount(T_), foreignTS_->discount(T_),
put25Vol * sqrt(T_));
Real put25Strike = blackDeltaCalculatorPut25.strikeFromDelta(-0.25);
BlackDeltaCalculator blackDeltaCalculatorCall25(
Option::Call, vol25Call_->deltaType(), x0Quote->value(),
domesticTS_->discount(T_), foreignTS_->discount(T_),
call25Vol * sqrt(T_));
Real call25Strike = blackDeltaCalculatorCall25.strikeFromDelta(0.25);
//here use vanna volga interpolated smile to price vanilla
std::vector<Real> strikes;
std::vector<Real> vols;
strikes.push_back(put25Strike);
vols.push_back(put25Vol);
strikes.push_back(atmStrike);
vols.push_back(atmVol_->value());
strikes.push_back(call25Strike);
vols.push_back(call25Vol);
VannaVolga vannaVolga(x0Quote->value(), foreignTS_->discount(T_), foreignTS_->discount(T_), T_);
Interpolation interpolation = vannaVolga.interpolate(strikes.begin(), strikes.end(), vols.begin());
interpolation.enableExtrapolation();
const boost::shared_ptr<StrikedTypePayoff> payoff =
boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
Real strikeVol = interpolation(payoff->strike());
//vannila option price
Real vanillaOption = blackFormula(payoff->optionType(), payoff->strike(),
x0Quote->value()* foreignTS_->discount(T_)/ domesticTS_->discount(T_),
strikeVol * sqrt(T_),
domesticTS_->discount(T_));
//already out
if((x0Quote->value() > arguments_.barrier[1] || x0Quote->value() < arguments_.barrier[0])
&& arguments_.barrierType[0] == Barrier::DownOut) {
results_.value = 0.0;
results_.additionalResults["VanillaPrice"] = adaptVanDelta_? bsPriceWithSmile_ : vanillaOption;
results_.additionalResults["BarrierInPrice"] = adaptVanDelta_? bsPriceWithSmile_ : vanillaOption;
results_.additionalResults["BarrierOutPrice"] = 0.0;
}
//already in
else if((x0Quote->value() > arguments_.barrier[1] || x0Quote->value() < arguments_.barrier[0])
&& arguments_.barrierType[0] == Barrier::DownIn) {
results_.value = adaptVanDelta_? bsPriceWithSmile_ : vanillaOption;
results_.additionalResults["VanillaPrice"] = adaptVanDelta_? bsPriceWithSmile_ : vanillaOption;
results_.additionalResults["BarrierInPrice"] = adaptVanDelta_? bsPriceWithSmile_ : vanillaOption;
results_.additionalResults["BarrierOutPrice"] = 0.0;
}
else {
//set up BS barrier option pricing
//only calculate out barrier option price
// in barrier price = vanilla - out barrier
boost::shared_ptr<StrikedTypePayoff> payoff
= boost::static_pointer_cast<StrikedTypePayoff> (arguments_.payoff);
DoubleBarrierOption doubleBarrierOption(arguments_.barrierType,
arguments_.barrier,
arguments_.rebate,
payoff,
arguments_.exercise);
doubleBarrierOption.setPricingEngine(engineBS);
//BS price
Real priceBS = doubleBarrierOption.NPV();
Real priceAtmCallBS = blackFormula(Option::Call,atmStrike,
x0Quote->value()* foreignTS_->discount(T_)/ domesticTS_->discount(T_),
atmVol_->value() * sqrt(T_),
domesticTS_->discount(T_));
Real price25CallBS = blackFormula(Option::Call,call25Strike,
x0Quote->value()* foreignTS_->discount(T_)/ domesticTS_->discount(T_),
atmVol_->value() * sqrt(T_),
domesticTS_->discount(T_));
Real price25PutBS = blackFormula(Option::Put,put25Strike,
x0Quote->value()* foreignTS_->discount(T_)/ domesticTS_->discount(T_),
atmVol_->value() * sqrt(T_),
domesticTS_->discount(T_));
//market price
Real priceAtmCallMkt = blackFormula(Option::Call,atmStrike,
x0Quote->value()* foreignTS_->discount(T_)/ domesticTS_->discount(T_),
atmVol_->value() * sqrt(T_),
domesticTS_->discount(T_));
Real price25CallMkt = blackFormula(Option::Call,call25Strike,
x0Quote->value()* foreignTS_->discount(T_)/ domesticTS_->discount(T_),
call25Vol * sqrt(T_),
domesticTS_->discount(T_));
Real price25PutMkt = blackFormula(Option::Put,put25Strike,
x0Quote->value()* foreignTS_->discount(T_)/ domesticTS_->discount(T_),
put25Vol * sqrt(T_),
domesticTS_->discount(T_));
//Analytical Black Scholes formula
NormalDistribution norm;
Real d1atm = (std::log(x0Quote->value()* foreignTS_->discount(T_)/ domesticTS_->discount(T_)/atmStrike)
+ 0.5*std::pow(atmVolQuote->value(),2.0) * T_)/(atmVolQuote->value() * sqrt(T_));
Real vegaAtm_Analytical = x0Quote->value() * norm(d1atm) * sqrt(T_) * foreignTS_->discount(T_);
Real vannaAtm_Analytical = vegaAtm_Analytical/x0Quote->value() *(1.0 - d1atm/(atmVolQuote->value()*sqrt(T_)));
Real volgaAtm_Analytical = vegaAtm_Analytical * d1atm * (d1atm - atmVolQuote->value() * sqrt(T_))/atmVolQuote->value();
Real d125call = (std::log(x0Quote->value()* foreignTS_->discount(T_)/ domesticTS_->discount(T_)/call25Strike)
+ 0.5*std::pow(atmVolQuote->value(),2.0) * T_)/(atmVolQuote->value() * sqrt(T_));
Real vega25Call_Analytical = x0Quote->value() * norm(d125call) * sqrt(T_) * foreignTS_->discount(T_);
Real vanna25Call_Analytical = vega25Call_Analytical/x0Quote->value() *(1.0 - d125call/(atmVolQuote->value()*sqrt(T_)));
Real volga25Call_Analytical = vega25Call_Analytical * d125call * (d125call - atmVolQuote->value() * sqrt(T_))/atmVolQuote->value();
Real d125Put = (std::log(x0Quote->value()* foreignTS_->discount(T_)/ domesticTS_->discount(T_)/put25Strike)
+ 0.5*std::pow(atmVolQuote->value(),2.0) * T_)/(atmVolQuote->value() * sqrt(T_));
Real vega25Put_Analytical = x0Quote->value() * norm(d125Put) * sqrt(T_) * foreignTS_->discount(T_);
Real vanna25Put_Analytical = vega25Put_Analytical/x0Quote->value() *(1.0 - d125Put/(atmVolQuote->value()*sqrt(T_)));
Real volga25Put_Analytical = vega25Put_Analytical * d125Put * (d125Put - atmVolQuote->value() * sqrt(T_))/atmVolQuote->value();
//BS vega
boost::static_pointer_cast<SimpleQuote> (atmVolQuote.currentLink())->setValue(atmVolQuote->value() + sigmaShift_vega);
doubleBarrierOption.recalculate();
Real vegaBarBS = (doubleBarrierOption.NPV() - priceBS)/sigmaShift_vega;
boost::static_pointer_cast<SimpleQuote> (atmVolQuote.currentLink())->setValue(atmVolQuote->value() - sigmaShift_vega);//setback
//BS volga
//vegaBar2
//base NPV
boost::static_pointer_cast<SimpleQuote> (atmVolQuote.currentLink())->setValue(atmVolQuote->value() + sigmaShift_volga);
doubleBarrierOption.recalculate();
Real priceBS2 = doubleBarrierOption.NPV();
//shifted npv
boost::static_pointer_cast<SimpleQuote> (atmVolQuote.currentLink())->setValue(atmVolQuote->value() + sigmaShift_vega);
doubleBarrierOption.recalculate();
Real vegaBarBS2 = (doubleBarrierOption.NPV() - priceBS2)/sigmaShift_vega;
Real volgaBarBS = (vegaBarBS2 - vegaBarBS)/sigmaShift_volga;
boost::static_pointer_cast<SimpleQuote> (atmVolQuote.currentLink())->setValue(atmVolQuote->value()
- sigmaShift_volga
- sigmaShift_vega);//setback
//BS Delta
//base delta
boost::static_pointer_cast<SimpleQuote> (x0Quote.currentLink())->setValue(x0Quote->value() + spotShift_delta);//shift forth
doubleBarrierOption.recalculate();
Real priceBS_delta1 = doubleBarrierOption.NPV();
boost::static_pointer_cast<SimpleQuote> (x0Quote.currentLink())->setValue(x0Quote->value() - 2 * spotShift_delta);//shift back
doubleBarrierOption.recalculate();
Real priceBS_delta2 = doubleBarrierOption.NPV();
boost::static_pointer_cast<SimpleQuote> (x0Quote.currentLink())->setValue(x0Quote->value() + spotShift_delta);//set back
Real deltaBar1 = (priceBS_delta1 - priceBS_delta2)/(2.0*spotShift_delta);
//shifted vanna
boost::static_pointer_cast<SimpleQuote> (atmVolQuote.currentLink())->setValue(atmVolQuote->value() + sigmaShift_vanna);//shift sigma
//shifted delta
boost::static_pointer_cast<SimpleQuote> (x0Quote.currentLink())->setValue(x0Quote->value() + spotShift_delta);//shift forth
doubleBarrierOption.recalculate();
priceBS_delta1 = doubleBarrierOption.NPV();
boost::static_pointer_cast<SimpleQuote> (x0Quote.currentLink())->setValue(x0Quote->value() - 2 * spotShift_delta);//shift back
doubleBarrierOption.recalculate();
priceBS_delta2 = doubleBarrierOption.NPV();
boost::static_pointer_cast<SimpleQuote> (x0Quote.currentLink())->setValue(x0Quote->value() + spotShift_delta);//set back
Real deltaBar2 = (priceBS_delta1 - priceBS_delta2)/(2.0*spotShift_delta);
Real vannaBarBS = (deltaBar2 - deltaBar1)/sigmaShift_vanna;
boost::static_pointer_cast<SimpleQuote> (atmVolQuote.currentLink())->setValue(atmVolQuote->value() - sigmaShift_vanna);//set back
//Matrix
Matrix A(3,3,0.0);
//analytical
A[0][0] = vegaAtm_Analytical;
A[0][1] = vega25Call_Analytical;
A[0][2] = vega25Put_Analytical;
A[1][0] = vannaAtm_Analytical;
A[1][1] = vanna25Call_Analytical;
A[1][2] = vanna25Put_Analytical;
A[2][0] = volgaAtm_Analytical;
A[2][1] = volga25Call_Analytical;
A[2][2] = volga25Put_Analytical;
Array b(3,0.0);
b[0] = vegaBarBS;
b[1] = vannaBarBS;
b[2] = volgaBarBS;
Array q = inverse(A) * b;
Real H = arguments_.barrier[1];
Real L = arguments_.barrier[0];
Real theta_tilt_minus = ((domesticTS_->zeroRate(T_, Continuous) - foreignTS_->zeroRate(T_, Continuous))/atmVol_->value() - atmVol_->value()/2.0)*std::sqrt(T_);
Real h = 1.0/atmVol_->value() * std::log(H/x0Quote->value())/std::sqrt(T_);
Real l = 1.0/atmVol_->value() * std::log(L/x0Quote->value())/std::sqrt(T_);
CumulativeNormalDistribution cnd;
Real doubleNoTouch = 0.0;
for(int j = -series_; j< series_; j++ ) {
Real e_minus = 2*j*(h-l) - theta_tilt_minus;
doubleNoTouch += std::exp(-2.0*j*theta_tilt_minus*(h-l))*(cnd(h+e_minus) - cnd(l+e_minus))
- std::exp(-2.0*j*theta_tilt_minus*(h-l)+2.0*theta_tilt_minus*h)*(cnd(h-2.0*h+e_minus) - cnd(l-2.0*h+e_minus));
}
Real p_survival = doubleNoTouch;
Real lambda = p_survival ;
Real adjust = q[0]*(priceAtmCallMkt - priceAtmCallBS)
+ q[1]*(price25CallMkt - price25CallBS)
+ q[2]*(price25PutMkt - price25PutBS);
Real outPrice = priceBS + lambda*adjust;//
Real inPrice;
//adapt Vanilla delta
if(adaptVanDelta_ == true) {
outPrice += lambda*(bsPriceWithSmile_ - vanillaOption);
//capfloored by (0, vanilla)
outPrice = std::max(0.0, std::min(bsPriceWithSmile_, outPrice));
inPrice = bsPriceWithSmile_ - outPrice;
}
else {
//capfloored by (0, vanilla)
outPrice = std::max(0.0, std::min(vanillaOption , outPrice));
inPrice = vanillaOption - outPrice;
}
if(arguments_.barrierType[0] == Barrier::DownOut)
results_.value = outPrice;
else
results_.value = inPrice;
results_.additionalResults["VanillaPrice"] = vanillaOption;
results_.additionalResults["BarrierInPrice"] = inPrice;
results_.additionalResults["BarrierOutPrice"] = outPrice;
results_.additionalResults["lambda"] = lambda;
}
}
void setConventions() {
calendar = TARGET();
optionBdc = ModifiedFollowing;
dayCounter = Actual365Fixed();
}
MakeVanillaSwap::operator ext::shared_ptr<VanillaSwap>() const {
Date startDate;
if (effectiveDate_ != Date())
startDate = effectiveDate_;
else {
Date refDate = Settings::instance().evaluationDate();
// if the evaluation date is not a business day
// then move to the next business day
refDate = floatCalendar_.adjust(refDate);
Date spotDate = floatCalendar_.advance(refDate,
settlementDays_*Days);
startDate = spotDate+forwardStart_;
if (forwardStart_.length()<0)
startDate = floatCalendar_.adjust(startDate,
Preceding);
else
startDate = floatCalendar_.adjust(startDate,
Following);
}
Date endDate = terminationDate_;
if (endDate == Date()) {
if (floatEndOfMonth_)
endDate = floatCalendar_.advance(startDate,
swapTenor_,
ModifiedFollowing,
floatEndOfMonth_);
else
endDate = startDate + swapTenor_;
}
const Currency& curr = iborIndex_->currency();
Period fixedTenor;
if (fixedTenor_ != Period())
fixedTenor = fixedTenor_;
else {
if ((curr == EURCurrency()) ||
(curr == USDCurrency()) ||
(curr == CHFCurrency()) ||
(curr == SEKCurrency()) ||
(curr == GBPCurrency() && swapTenor_ <= 1 * Years))
fixedTenor = Period(1, Years);
else if ((curr == GBPCurrency() && swapTenor_ > 1 * Years) ||
(curr == JPYCurrency()) ||
(curr == AUDCurrency() && swapTenor_ >= 4 * Years))
fixedTenor = Period(6, Months);
else if ((curr == HKDCurrency() ||
(curr == AUDCurrency() && swapTenor_ < 4 * Years)))
fixedTenor = Period(3, Months);
else
QL_FAIL("unknown fixed leg default tenor for " << curr);
}
Schedule fixedSchedule(startDate, endDate,
fixedTenor, fixedCalendar_,
fixedConvention_,
fixedTerminationDateConvention_,
fixedRule_, fixedEndOfMonth_,
fixedFirstDate_, fixedNextToLastDate_);
Schedule floatSchedule(startDate, endDate,
floatTenor_, floatCalendar_,
floatConvention_,
floatTerminationDateConvention_,
floatRule_, floatEndOfMonth_,
floatFirstDate_, floatNextToLastDate_);
DayCounter fixedDayCount;
if (fixedDayCount_ != DayCounter())
fixedDayCount = fixedDayCount_;
else {
if (curr == USDCurrency())
fixedDayCount = Actual360();
else if (curr == EURCurrency() || curr == CHFCurrency() ||
curr == SEKCurrency())
fixedDayCount = Thirty360(Thirty360::BondBasis);
else if (curr == GBPCurrency() || curr == JPYCurrency() ||
curr == AUDCurrency() || curr == HKDCurrency())
fixedDayCount = Actual365Fixed();
else
QL_FAIL("unknown fixed leg day counter for " << curr);
}
Rate usedFixedRate = fixedRate_;
if (fixedRate_ == Null<Rate>()) {
VanillaSwap temp(type_, nominal_,
fixedSchedule,
0.0, // fixed rate
fixedDayCount,
floatSchedule, iborIndex_,
floatSpread_, floatDayCount_);
if (engine_ == 0) {
Handle<YieldTermStructure> disc =
iborIndex_->forwardingTermStructure();
QL_REQUIRE(!disc.empty(),
"null term structure set to this instance of " <<
iborIndex_->name());
bool includeSettlementDateFlows = false;
ext::shared_ptr<PricingEngine> engine(new
DiscountingSwapEngine(disc, includeSettlementDateFlows));
temp.setPricingEngine(engine);
} else
temp.setPricingEngine(engine_);
usedFixedRate = temp.fairRate();
}
ext::shared_ptr<VanillaSwap> swap(new
VanillaSwap(type_, nominal_,
fixedSchedule,
usedFixedRate, fixedDayCount,
floatSchedule,
iborIndex_, floatSpread_, floatDayCount_));
if (engine_ == 0) {
Handle<YieldTermStructure> disc =
iborIndex_->forwardingTermStructure();
bool includeSettlementDateFlows = false;
ext::shared_ptr<PricingEngine> engine(new
DiscountingSwapEngine(disc, includeSettlementDateFlows));
swap->setPricingEngine(engine);
} else
swap->setPricingEngine(engine_);
return swap;
}
