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 YoYInflationBachelierCapFloorEngine::optionletImpl(Option::Type type, Rate strike,
Rate forward, Real stdDev,
Real d) const
{
return bachelierBlackFormula(type, strike,
forward, stdDev, d);
}
Real bachelierBlackFormula(
const boost::shared_ptr<PlainVanillaPayoff>& payoff,
Real forward,
Real stdDev,
Real discount) {
return bachelierBlackFormula(payoff->optionType(),
payoff->strike(), forward, stdDev, discount);
}
Real SmileSection::optionPrice(Rate strike,
Option::Type type,
Real discount) const {
Real atm = atmLevel();
QL_REQUIRE(atm != Null<Real>(),
"smile section must provide atm level to compute option price");
// if lognormal or shifted lognormal,
// for strike at -shift, return option price even if outside
// minstrike, maxstrike interval
if (volatilityType() == ShiftedLognormal)
return blackFormula(type,strike,atm, fabs(strike+shift()) < QL_EPSILON ?
0.2 : sqrt(variance(strike)),discount,shift());
else
return bachelierBlackFormula(type,strike,atm,sqrt(variance(strike)),discount);
}
Real LognormalCmsSpreadPricer::optionletPrice(Option::Type optionType,
Real strike) const {
// this method is only called for future fixings
optionType_ = optionType;
phi_ = optionType == Option::Call ? 1.0 : -1.0;
Real res = 0.0;
if (volType_ == ShiftedLognormal) {
// (shifted) lognormal volatility
if (strike >= 0.0) {
a_ = gearing1_;
b_ = gearing2_;
s1_ = swapRate1_ + shift1_;
s2_ = swapRate2_ + shift2_;
m1_ = mu1_;
m2_ = mu2_;
v1_ = vol1_;
v2_ = vol2_;
k_ = strike + gearing1_ * shift1_ + gearing2_ * shift2_;
} else {
a_ = -gearing2_;
b_ = -gearing1_;
s1_ = swapRate2_ + shift1_;
s2_ = swapRate1_ + shift2_;
m1_ = mu2_;
m2_ = mu1_;
v1_ = vol2_;
v2_ = vol1_;
k_ = -strike - gearing1_ * shift1_ - gearing2_ * shift2_;
res += phi_ * (gearing1_ * adjustedRate1_ +
gearing2_ * adjustedRate2_ - strike);
}
res +=
1.0 / M_SQRTPI * (*integrator_)(integrand_f(this));
} else {
// normal volatility
Real forward = gearing1_ * adjustedRate1_ +
gearing2_ * adjustedRate2_;
Real stddev =
std::sqrt(fixingTime_ *
(gearing1_ * gearing1_ * vol1_ * vol1_ +
gearing2_ * gearing2_ * vol2_ * vol2_ +
2.0 * gearing1_ * gearing2_ * rho_ * vol1_ * vol2_));
res =
bachelierBlackFormula(optionType_, strike, forward, stddev, 1.0);
}
return res * discount_ * coupon_->accrualPeriod();
}
Real value(const Option::Type type, const Real strike,
const Real atmForward, const Real stdDev, const Real annuity,
const Real) {
return bachelierBlackFormula(type, strike, atmForward, stdDev,
annuity);
}
