/usr/include/ql/pricingengines/swaption/blackswaptionengine.hpp is in libquantlib0-dev 1.9.1-1.
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/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2006 StatPro Italia srl
Copyright (C) 2015, 2016 Peter Caspers
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file blackswaptionengine.hpp
\brief Black-formula swaption engine
*/
#ifndef quantlib_pricers_black_swaption_hpp
#define quantlib_pricers_black_swaption_hpp
#include <ql/instruments/swaption.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/cashflows/cashflows.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
class Quote;
namespace detail {
/*! Generic Black-style-formula swaption engine
This is the base class for the Black and Bachelier swaption engines */
template<class Spec>
class BlackStyleSwaptionEngine : public Swaption::engine {
public:
BlackStyleSwaptionEngine(const Handle<YieldTermStructure>& discountCurve,
Volatility vol,
const DayCounter& dc = Actual365Fixed(),
Real displacement = 0.0);
BlackStyleSwaptionEngine(const Handle<YieldTermStructure>& discountCurve,
const Handle<Quote>& vol,
const DayCounter& dc = Actual365Fixed(),
Real displacement = 0.0);
/*! if displacement is Null<Real>(), it is read from the volatility
structure, the parameter can be removed once the deprecated methods
overriding the displacement are deleted */
BlackStyleSwaptionEngine(const Handle<YieldTermStructure>& discountCurve,
const Handle<SwaptionVolatilityStructure>& vol,
Real displacement = Null<Real>());
void calculate() const;
Handle<YieldTermStructure> termStructure() { return discountCurve_; }
Handle<SwaptionVolatilityStructure> volatility() { return vol_; }
private:
Handle<YieldTermStructure> discountCurve_;
Handle<SwaptionVolatilityStructure> vol_;
protected:
// can be removed once the deprecated methods overriding the
// displacement are deleted
Real displacement_;
};
// shifted lognormal type engine
struct Black76Spec {
static const VolatilityType type = ShiftedLognormal;
Real value(const Option::Type type, const Real strike,
const Real atmForward, const Real stdDev, const Real annuity,
const Real displacement) {
return blackFormula(type, strike, atmForward, stdDev, annuity,
displacement);
}
Real vega(const Real strike, const Real atmForward, const Real stdDev,
const Real exerciseTime, const Real annuity,
const Real displacement) {
return std::sqrt(exerciseTime) *
blackFormulaStdDevDerivative(strike, atmForward, stdDev,
annuity, displacement);
}
};
// normal type engine
struct BachelierSpec {
static const VolatilityType type = Normal;
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);
}
Real vega(const Real strike, const Real atmForward, const Real stdDev,
const Real exerciseTime, const Real annuity, const Real) {
return std::sqrt(exerciseTime) *
bachelierBlackFormulaStdDevDerivative(
strike, atmForward, stdDev, annuity);
}
};
} // namespace detail
//! Shifted Lognormal Black-formula swaption engine
/*! \ingroup swaptionengines
\warning The engine assumes that the exercise date equals the
start date of the passed swap.
*/
class BlackSwaptionEngine
: public detail::BlackStyleSwaptionEngine<detail::Black76Spec> {
public:
BlackSwaptionEngine(const Handle<YieldTermStructure>& discountCurve,
Volatility vol,
const DayCounter& dc = Actual365Fixed(),
Real displacement = 0.0);
BlackSwaptionEngine(const Handle<YieldTermStructure>& discountCurve,
const Handle<Quote>& vol,
const DayCounter& dc = Actual365Fixed(),
Real displacement = 0.0);
BlackSwaptionEngine(const Handle<YieldTermStructure>& discountCurve,
const Handle<SwaptionVolatilityStructure>& vol);
/*! \deprecated
overrides displacement from given volatility structure,
this is not recommended to do */
QL_DEPRECATED
BlackSwaptionEngine(const Handle<YieldTermStructure>& discountCurve,
const Handle<SwaptionVolatilityStructure>& vol,
Real displacement);
/*! \deprecated
might return Null<Real>(), if given by a volatility structure,
use volatility()->shift() to get the displacement instead */
QL_DEPRECATED
Real displacement() { return displacement_; }
};
//! Normal Bachelier-formula swaption engine
/*! \ingroup swaptionengines
\warning The engine assumes that the exercise date equals the
start date of the passed swap.
*/
class BachelierSwaptionEngine
: public detail::BlackStyleSwaptionEngine<detail::BachelierSpec> {
public:
BachelierSwaptionEngine(const Handle<YieldTermStructure>& discountCurve,
Volatility vol,
const DayCounter& dc = Actual365Fixed());
BachelierSwaptionEngine(const Handle<YieldTermStructure>& discountCurve,
const Handle<Quote>& vol,
const DayCounter& dc = Actual365Fixed());
BachelierSwaptionEngine(const Handle<YieldTermStructure>& discountCurve,
const Handle<SwaptionVolatilityStructure>& vol);
};
// implementation
namespace detail {
template<class Spec>
BlackStyleSwaptionEngine<Spec>::BlackStyleSwaptionEngine(
const Handle<YieldTermStructure> &discountCurve, Volatility vol,
const DayCounter &dc, Real displacement)
: discountCurve_(discountCurve),
vol_(boost::shared_ptr<SwaptionVolatilityStructure>(
new ConstantSwaptionVolatility(0, NullCalendar(), Following, vol,
dc, Spec().type, displacement))),
displacement_(displacement) {
registerWith(discountCurve_);
}
template<class Spec>
BlackStyleSwaptionEngine<Spec>::BlackStyleSwaptionEngine(
const Handle<YieldTermStructure> &discountCurve,
const Handle<Quote> &vol, const DayCounter &dc, Real displacement)
: discountCurve_(discountCurve),
vol_(boost::shared_ptr<SwaptionVolatilityStructure>(
new ConstantSwaptionVolatility(0, NullCalendar(), Following, vol,
dc, Spec().type, displacement))),
displacement_(displacement) {
registerWith(discountCurve_);
registerWith(vol_);
}
template<class Spec>
BlackStyleSwaptionEngine<Spec>::BlackStyleSwaptionEngine(
const Handle<YieldTermStructure> &discountCurve,
const Handle<SwaptionVolatilityStructure> &volatility,
Real displacement)
: discountCurve_(discountCurve), vol_(volatility),
displacement_(displacement) {
registerWith(discountCurve_);
registerWith(vol_);
}
template<class Spec>
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;
// the swap length calculation might be improved using the value date
// of the exercise date
Time swapLength = vol_->swapLength(exerciseDate,
arguments_.floatingPayDates.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);
}
} // namespace detail
}
#endif
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