/usr/include/ql/cashflows/rangeaccrual.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2006, 2007 Giorgio Facchinetti
Copyright (C) 2006, 2007 Mario Pucci
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 rangeaccrual.hpp
\brief range-accrual coupon
*/
#ifndef quantlib_range_accrual_h
#define quantlib_range_accrual_h
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/time/schedule.hpp>
#include <vector>
namespace QuantLib {
class IborIndex;
class RangeAccrualPricer;
class RangeAccrualFloatersCoupon: public FloatingRateCoupon {
public:
RangeAccrualFloatersCoupon(
const Date& paymentDate,
Real nominal,
const boost::shared_ptr<IborIndex>& index,
const Date& startDate,
const Date& endDate,
Natural fixingDays,
const DayCounter& dayCounter,
Real gearing,
Rate spread,
const Date& refPeriodStart,
const Date& refPeriodEnd,
const boost::shared_ptr<Schedule>& observationsSchedule,
Real lowerTrigger,
Real upperTrigger);
Real startTime() const {return startTime_; }
Real endTime() const {return endTime_; }
Real lowerTrigger() const {return lowerTrigger_; }
Real upperTrigger() const {return upperTrigger_; }
Size observationsNo() const {return observationsNo_; }
const std::vector<Date>& observationDates() const {
return observationDates_;
}
const std::vector<Real>& observationTimes() const {
return observationTimes_;
}
const boost::shared_ptr<Schedule> observationsSchedule() const {
return observationsSchedule_;
}
Real priceWithoutOptionality(
const Handle<YieldTermStructure>& discountCurve) const;
//! \name Visitability
//@{
virtual void accept(AcyclicVisitor&);
//@}
private:
Real startTime_; // S
Real endTime_; // T
const boost::shared_ptr<Schedule> observationsSchedule_;
std::vector<Date> observationDates_;
std::vector<Real> observationTimes_;
Size observationsNo_;
Real lowerTrigger_;
Real upperTrigger_;
};
class RangeAccrualPricer: public FloatingRateCouponPricer {
public:
//! \name Observer interface
//@{
virtual Rate swapletRate() const;
virtual Real capletPrice(Rate effectiveCap) const;
virtual Rate capletRate(Rate effectiveCap) const;
virtual Real floorletPrice(Rate effectiveFloor) const;
virtual Rate floorletRate(Rate effectiveFloor) const;
void initialize(const FloatingRateCoupon& coupon);
//@}
protected:
const RangeAccrualFloatersCoupon* coupon_;
Real startTime_; // S
Real endTime_; // T
Real accrualFactor_; // T-S
std::vector<Real> observationTimeLags_; // d
std::vector<Real> observationTimes_; // U
std::vector<Real> initialValues_;
Size observationsNo_;
Real lowerTrigger_;
Real upperTrigger_;
Real discount_;
Real gearing_;
Spread spread_;
Real spreadLegValue_;
};
class RangeAccrualPricerByBgm : public RangeAccrualPricer {
public:
RangeAccrualPricerByBgm(
Real correlation,
const boost::shared_ptr<SmileSection>& smilesOnExpiry,
const boost::shared_ptr<SmileSection>& smilesOnPayment,
bool withSmile,
bool byCallSpread);
//! \name Observer interface
//@{
virtual Real swapletPrice() const;
//@}
protected:
Real drift(Real U, Real lambdaS, Real lambdaT, Real correlation) const;
Real derDriftDerLambdaS(Real U, Real lambdaS, Real lambdaT,
Real correlation) const;
Real derDriftDerLambdaT(Real U, Real lambdaS, Real lambdaT,
Real correlation) const;
Real lambda(Real U, Real lambdaS, Real lambdaT) const;
Real derLambdaDerLambdaS(Real U) const;
Real derLambdaDerLambdaT(Real U) const;
std::vector<Real> driftsOverPeriod(Real U, Real lambdaS, Real lambdaT,
Real correlation) const;
std::vector<Real> lambdasOverPeriod(Real U, Real lambdaS,
Real lambdaT) const;
Real digitalRangePrice(Real lowerTrigger,
Real upperTrigger,
Real initialValue,
Real expiry,
Real deflator) const;
Real digitalPrice(Real strike,
Real initialValue,
Real expiry,
Real deflator) const;
Real digitalPriceWithoutSmile(Real strike,
Real initialValue,
Real expiry,
Real deflator) const;
Real digitalPriceWithSmile(Real strike,
Real initialValue,
Real expiry,
Real deflator) const;
Real callSpreadPrice(Real previousInitialValue,
Real nextInitialValue,
Real previousStrike,
Real nextStrike,
Real deflator,
Real previousVariance,
Real nextVariance) const;
Real smileCorrection(Real strike,
Real initialValue,
Real expiry,
Real deflator) const;
private:
Real correlation_; // correlation between L(S) and L(T)
bool withSmile_;
bool byCallSpread_;
boost::shared_ptr<SmileSection> smilesOnExpiry_;
boost::shared_ptr<SmileSection> smilesOnPayment_;
Real eps_;
};
//! helper class building a sequence of range-accrual floating-rate coupons
class RangeAccrualLeg {
public:
RangeAccrualLeg(const Schedule& schedule,
const boost::shared_ptr<IborIndex>& index);
RangeAccrualLeg& withNotionals(Real notional);
RangeAccrualLeg& withNotionals(const std::vector<Real>& notionals);
RangeAccrualLeg& withPaymentDayCounter(const DayCounter&);
RangeAccrualLeg& withPaymentAdjustment(BusinessDayConvention);
RangeAccrualLeg& withFixingDays(Natural fixingDays);
RangeAccrualLeg& withFixingDays(const std::vector<Natural>& fixingDays);
RangeAccrualLeg& withGearings(Real gearing);
RangeAccrualLeg& withGearings(const std::vector<Real>& gearings);
RangeAccrualLeg& withSpreads(Spread spread);
RangeAccrualLeg& withSpreads(const std::vector<Spread>& spreads);
RangeAccrualLeg& withLowerTriggers(Rate trigger);
RangeAccrualLeg& withLowerTriggers(const std::vector<Rate>& triggers);
RangeAccrualLeg& withUpperTriggers(Rate trigger);
RangeAccrualLeg& withUpperTriggers(const std::vector<Rate>& triggers);
RangeAccrualLeg& withObservationTenor(const Period&);
RangeAccrualLeg& withObservationConvention(BusinessDayConvention);
operator Leg() const;
private:
Schedule schedule_;
boost::shared_ptr<IborIndex> index_;
std::vector<Real> notionals_;
DayCounter paymentDayCounter_;
BusinessDayConvention paymentAdjustment_;
std::vector<Natural> fixingDays_;
std::vector<Real> gearings_;
std::vector<Spread> spreads_;
std::vector<Rate> lowerTriggers_, upperTriggers_;
Period observationTenor_;
BusinessDayConvention observationConvention_;
};
}
#endif
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