Real LinearTsrPricer::optionletPrice(Option::Type optionType,
Real strike) const {
if (optionType == Option::Call && strike >= settings_.upperRateBound_)
return 0.0;
if (optionType == Option::Put && strike <= settings_.lowerRateBound_)
return 0.0;
// determine lower or upper integration bound (depending on option type)
Real lower = strike, upper = strike;
switch (settings_.strategy_) {
case Settings::RateBound: {
if (optionType == Option::Call)
upper = settings_.upperRateBound_;
else
lower = settings_.lowerRateBound_;
break;
}
case Settings::VegaRatio: {
// strikeFromVegaRatio ensures that returned strike is on the
// expected side of strike
Real bound =
strikeFromVegaRatio(settings_.vegaRatio_, optionType, strike);
if (optionType == Option::Call)
upper = std::min(bound, settings_.upperRateBound_);
else
lower = std::max(bound, settings_.lowerRateBound_);
break;
}
case Settings::PriceThreshold: {
// strikeFromPrice ensures that returned strike is on the expected
// side of strike
Real bound =
strikeFromPrice(settings_.vegaRatio_, optionType, strike);
if (optionType == Option::Call)
upper = std::min(bound, settings_.upperRateBound_);
else
lower = std::max(bound, settings_.lowerRateBound_);
break;
}
default:
QL_FAIL("Unknown strategy (" << settings_.strategy_ << ")");
}
// compute the relevant integral
Real result = 0.0;
Real tmpBound;
if (upper > lower) {
tmpBound = std::min(upper, swapRateValue_);
if (tmpBound > lower) {
result += integrator_->operator()(
std::bind1st(std::mem_fun(&LinearTsrPricer::integrand),
this),
lower, tmpBound);
}
tmpBound = std::max(lower, swapRateValue_);
if (upper > tmpBound) {
result += integrator_->operator()(
std::bind1st(std::mem_fun(&LinearTsrPricer::integrand),
this),
tmpBound, upper);
}
result *= (optionType == Option::Call ? 1.0 : -1.0);
}
result += singularTerms(optionType, strike);
return annuity_ * result * couponDiscountRatio_ *
coupon_->accrualPeriod();
}
Real LinearTsrPricer::optionletPrice(Option::Type optionType,
Real strike) const {
if (optionType == Option::Call && strike >= adjustedUpperBound_)
return 0.0;
if (optionType == Option::Put && strike <= adjustedLowerBound_)
return 0.0;
// determine lower or upper integration bound (depending on option type)
Real lower = strike, upper = strike;
switch (settings_.strategy_) {
case Settings::RateBound: {
if (optionType == Option::Call)
upper = adjustedUpperBound_;
else
lower = adjustedLowerBound_;
break;
}
case Settings::VegaRatio: {
// strikeFromVegaRatio ensures that returned strike is on the
// expected side of strike
Real bound =
strikeFromVegaRatio(settings_.vegaRatio_, optionType, strike);
if (optionType == Option::Call)
upper = std::min(bound, adjustedUpperBound_);
else
lower = std::max(bound, adjustedLowerBound_);
break;
}
case Settings::PriceThreshold: {
// strikeFromPrice ensures that returned strike is on the expected
// side of strike
Real bound =
strikeFromPrice(settings_.vegaRatio_, optionType, strike);
if (optionType == Option::Call)
upper = std::min(bound, adjustedUpperBound_);
else
lower = std::max(bound, adjustedLowerBound_);
break;
}
case Settings::BSStdDevs : {
Real atm = smileSection_->atmLevel();
Real atmVol = smileSection_->volatility(atm);
Real shift = smileSection_->shift();
Real lowerTmp, upperTmp;
if (smileSection_->volatilityType() == ShiftedLognormal) {
upperTmp = (atm + shift) *
std::exp(settings_.stdDevs_ * atmVol -
0.5 * atmVol * atmVol *
smileSection_->exerciseTime()) -
shift;
lowerTmp = (atm + shift) *
std::exp(-settings_.stdDevs_ * atmVol -
0.5 * atmVol * atmVol *
smileSection_->exerciseTime()) -
shift;
} else {
Real tmp = settings_.stdDevs_ * atmVol *
std::sqrt(smileSection_->exerciseTime());
upperTmp = atm + tmp;
lowerTmp = atm - tmp;
}
upper = std::min(upperTmp - shift, adjustedUpperBound_);
lower = std::max(lowerTmp - shift, adjustedLowerBound_);
break;
}
default:
QL_FAIL("Unknown strategy (" << settings_.strategy_ << ")");
}
// compute the relevant integral
Real result = 0.0;
Real tmpBound;
if (upper > lower) {
tmpBound = std::min(upper, swapRateValue_);
if (tmpBound > lower) {
result += (*integrator_)(integrand_f(this),
lower, tmpBound);
}
tmpBound = std::max(lower, swapRateValue_);
if (upper > tmpBound) {
result += (*integrator_)(integrand_f(this),
tmpBound, upper);
}
result *= (optionType == Option::Call ? 1.0 : -1.0);
}
result += singularTerms(optionType, strike);
return annuity_ * result * couponDiscountRatio_ *
coupon_->accrualPeriod();
}