/usr/include/ql/cashflows/digitalcoupon.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2007 Cristina Duminuco
Copyright (C) 2007 Giorgio Facchinetti
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 digitalcoupon.hpp
\brief Floating-rate coupon with digital call/put option
*/
#ifndef quantlib_digital_coupon_hpp
#define quantlib_digital_coupon_hpp
#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/cashflows/replication.hpp>
#include <ql/position.hpp>
#include <ql/utilities/null.hpp>
namespace QuantLib {
//! Digital-payoff coupon
/*! Implementation of a floating-rate coupon with digital call/put option.
Payoffs:
- Coupon with cash-or-nothing Digital Call
rate + csi * payoffRate * Heaviside(rate-strike)
- Coupon with cash-or-nothing Digital Put
rate + csi * payoffRate * Heaviside(strike-rate)
where csi=+1 or csi=-1.
- Coupon with asset-or-nothing Digital Call
rate + csi * rate * Heaviside(rate-strike)
- Coupon with asset-or-nothing Digital Put
rate + csi * rate * Heaviside(strike-rate)
where csi=+1 or csi=-1.
The evaluation of the coupon is made using the call/put spread
replication method.
*/
/*! \ingroup instruments
\test
- the correctness of the returned value in case of Asset-or-nothing
embedded option is tested by pricing the digital option with
Cox-Rubinstein formula.
- the correctness of the returned value in case of deep-in-the-money
Asset-or-nothing embedded option is tested vs the expected values of
coupon and option.
- the correctness of the returned value in case of deep-out-of-the-money
Asset-or-nothing embedded option is tested vs the expected values of
coupon and option.
- the correctness of the returned value in case of Cash-or-nothing
embedded option is tested by pricing the digital option with
Reiner-Rubinstein formula.
- the correctness of the returned value in case of deep-in-the-money
Cash-or-nothing embedded option is tested vs the expected values of
coupon and option.
- the correctness of the returned value in case of deep-out-of-the-money
Cash-or-nothing embedded option is tested vs the expected values of
coupon and option.
- the correctness of the returned value is tested checking the correctness
of the call-put parity relation.
- the correctness of the returned value is tested by the relationship
between prices in case of different replication types.
*/
class DigitalCoupon : public FloatingRateCoupon {
public:
//! \name Constructors
//@{
//! general constructor
DigitalCoupon(const boost::shared_ptr<FloatingRateCoupon>& underlying,
Rate callStrike = Null<Rate>(),
Position::Type callPosition = Position::Long,
bool isCallITMIncluded = false,
Rate callDigitalPayoff = Null<Rate>(),
Rate putStrike = Null<Rate>(),
Position::Type putPosition = Position::Long,
bool isPutITMIncluded = false,
Rate putDigitalPayoff = Null<Rate>(),
const boost::shared_ptr<DigitalReplication>& replication =
boost::shared_ptr<DigitalReplication>() );
//@}
//! \name Coupon interface
//@{
Rate rate() const;
Rate convexityAdjustment() const;
//@}
//@}
//! \name Digital inspectors
//@{
Rate callStrike() const;
Rate putStrike() const;
Rate callDigitalPayoff() const;
Rate putDigitalPayoff() const;
bool hasPut() const { return hasPutStrike_; }
bool hasCall() const {return hasCallStrike_; }
bool hasCollar() const {return (hasCallStrike_ && hasPutStrike_); }
bool isLongPut() const { return (putCsi_==1.); }
bool isLongCall() const { return (callCsi_==1.); }
boost::shared_ptr<FloatingRateCoupon> underlying() const { return underlying_; }
/*! Returns the call option rate
(multiplied by: nominal*accrualperiod*discount is the NPV of the option)
*/
Rate callOptionRate() const;
/*! Returns the put option rate
(multiplied by: nominal*accrualperiod*discount is the NPV of the option)
*/
Rate putOptionRate() const;
//@}
//! \name Observer interface
//@{
void update();
//@}
//! \name Visitability
//@{
virtual void accept(AcyclicVisitor&);
void setPricer(
const boost::shared_ptr<FloatingRateCouponPricer>& pricer) {
if (pricer_)
unregisterWith(pricer_);
pricer_ = pricer;
if (pricer_)
registerWith(pricer_);
update();
underlying_->setPricer(pricer);
}
protected:
//! \name Data members
//@{
//!
boost::shared_ptr<FloatingRateCoupon> underlying_;
//! strike rate for the the call option
Rate callStrike_;
//! strike rate for the the put option
Rate putStrike_;
//! multiplicative factor of call payoff
Real callCsi_;
//! multiplicative factor of put payoff
Real putCsi_;
//! inclusion flag og the call payoff if the call option ends at-the-money
bool isCallATMIncluded_;
//! inclusion flag og the put payoff if the put option ends at-the-money
bool isPutATMIncluded_;
//! digital call option type: if true, cash-or-nothing, if false asset-or-nothing
bool isCallCashOrNothing_;
//! digital put option type: if true, cash-or-nothing, if false asset-or-nothing
bool isPutCashOrNothing_;
//! digital call option payoff rate, if any
Rate callDigitalPayoff_;
//! digital put option payoff rate, if any
Rate putDigitalPayoff_;
//! the left and right gaps applied in payoff replication for call
Real callLeftEps_, callRightEps_;
//! the left and right gaps applied in payoff replication for puf
Real putLeftEps_, putRightEps_;
//!
bool hasPutStrike_, hasCallStrike_;
//! Type of replication
Replication::Type replicationType_;
//@}
private:
Rate callPayoff() const;
Rate putPayoff() const;
};
}
#endif
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