Real BlackIborCouponPricer::optionletPrice(Option::Type optionType,
Real effStrike) const {
Date fixingDate = coupon_->fixingDate();
if (fixingDate <= Settings::instance().evaluationDate()) {
// the amount is determined
Real a, b;
if (optionType==Option::Call) {
a = coupon_->indexFixing();
b = effStrike;
} else {
a = effStrike;
b = coupon_->indexFixing();
}
return std::max(a - b, 0.0)* accrualPeriod_*discount_;
} else {
// not yet determined, use Black model
QL_REQUIRE(!capletVolatility().empty(),
"missing optionlet volatility");
Real stdDev =
std::sqrt(capletVolatility()->blackVariance(fixingDate,
effStrike));
Real shift = capletVolatility()->displacement();
bool shiftedLn =
capletVolatility()->volatilityType() == ShiftedLognormal;
Rate fixing =
shiftedLn
? blackFormula(optionType, effStrike, adjustedFixing(),
stdDev, 1.0, shift)
: bachelierBlackFormula(optionType, effStrike,
adjustedFixing(), stdDev, 1.0);
return fixing * accrualPeriod_ * discount_;
}
}
Real CPICouponPricer::optionletPrice(Option::Type optionType,
Real effStrike) const {
Date fixingDate = coupon_->fixingDate();
if (fixingDate <= Settings::instance().evaluationDate()) {
// the amount is determined
Real a, b;
if (optionType==Option::Call) {
a = coupon_->indexFixing();
b = effStrike;
} else {
a = effStrike;
b = coupon_->indexFixing();
}
return std::max(a - b, 0.0)* coupon_->accrualPeriod()*discount_;
} else {
// not yet determined, use Black/DD1/Bachelier/whatever from Impl
QL_REQUIRE(!capletVolatility().empty(),
"missing optionlet volatility");
Real stdDev =
std::sqrt(capletVolatility()->totalVariance(fixingDate,
effStrike));
Rate fixing = optionletPriceImp(optionType,
effStrike,
adjustedFixing(),
stdDev);
return fixing * coupon_->accrualPeriod() * discount_;
}
}
Rate CPICouponPricer::swapletRate() const {
// This way we do not require the index to have
// a yield curve, i.e. we do not get the problem
// that a discounting-instrument-pricer is used
// with a different yield curve
//std::cout << (gearing_ * adjustedFixing() + spread_) << " SWAPLET rate" << gearing_ << " " << spread_ << std::endl;
return gearing_ * adjustedFixing() + spread_;
}
Real CPICouponPricer::swapletPrice() const {
Real swapletPrice = adjustedFixing() * coupon_->accrualPeriod() * discount_;
//std::cout << swapletPrice << " SWAPLET price" << std::endl;
return gearing_ * swapletPrice + spreadLegValue_;
}
inline Rate
FloatingRateCoupon::convexityAdjustmentImpl(Rate fixing) const {
return (gearing() == 0.0 ? 0.0 : adjustedFixing()-fixing);
}
inline Real BlackIborCouponPricer::swapletPrice() const {
// past or future fixing is managed in InterestRateIndex::fixing()
Real swapletPrice = adjustedFixing() * accrualPeriod_ * discount_;
return gearing_ * swapletPrice + spreadLegValue_;
}
