| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2013, 2018 Peter Caspers |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | #include <ql/exercise.hpp> |
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| 21 | #include <ql/instruments/floatfloatswaption.hpp> |
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| 22 | #include <utility> |
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| 23 | |
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| 24 | namespace QuantLib { |
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| 25 | |
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| 26 | FloatFloatSwaption::FloatFloatSwaption(ext::shared_ptr<FloatFloatSwap> swap, |
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| 27 | const ext::shared_ptr<Exercise>& exercise, |
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| 28 | Settlement::Type delivery, |
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| 29 | Settlement::Method settlementMethod) |
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| 30 | : Option(ext::shared_ptr<Payoff>(), exercise), swap_(std::move(swap)), |
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| 31 | settlementType_(delivery), settlementMethod_(settlementMethod) { |
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| 32 | registerWith(h: swap_); |
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| 33 | // When we ask for the NPV of an expired swaption, the |
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| 34 | // swap is not recalculated and thus wouldn't forward |
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| 35 | // later notifications according to the default behavior of |
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| 36 | // LazyObject instances. This means that even if the |
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| 37 | // evaluation date changes so that the swaption is no longer |
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| 38 | // expired, the instrument wouldn't be notified and thus it |
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| 39 | // wouldn't recalculate. To avoid this, we override the |
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| 40 | // default behavior of the underlying swap. |
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| 41 | swap_->alwaysForwardNotifications(); |
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| 42 | } |
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| 43 | |
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| 44 | bool FloatFloatSwaption::isExpired() const { |
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| 45 | return detail::simple_event(exercise_->dates().back()).hasOccurred(); |
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| 46 | } |
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| 47 | |
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| 48 | void |
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| 49 | FloatFloatSwaption::setupArguments(PricingEngine::arguments *args) const { |
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| 50 | |
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| 51 | swap_->setupArguments(args); |
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| 52 | |
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| 53 | auto* arguments = dynamic_cast<FloatFloatSwaption::arguments*>(args); |
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| 54 | |
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| 55 | QL_REQUIRE(arguments != nullptr, "wrong argument type" ); |
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| 56 | |
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| 57 | arguments->swap = swap_; |
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| 58 | arguments->exercise = exercise_; |
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| 59 | arguments->settlementType = settlementType_; |
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| 60 | arguments->settlementMethod = settlementMethod_; |
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| 61 | } |
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| 62 | |
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| 63 | void FloatFloatSwaption::arguments::validate() const { |
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| 64 | FloatFloatSwap::arguments::validate(); |
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| 65 | QL_REQUIRE(swap, "underlying cms swap not set" ); |
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| 66 | QL_REQUIRE(exercise, "exercise not set" ); |
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| 67 | Settlement::checkTypeAndMethodConsistency(settlementType, |
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| 68 | settlementMethod); |
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| 69 | } |
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| 70 | |
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| 71 | std::vector<ext::shared_ptr<BlackCalibrationHelper>> |
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| 72 | FloatFloatSwaption::calibrationBasket( |
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| 73 | const ext::shared_ptr<SwapIndex>& standardSwapBase, |
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| 74 | const ext::shared_ptr<SwaptionVolatilityStructure>& swaptionVolatility, |
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| 75 | const BasketGeneratingEngine::CalibrationBasketType basketType) const { |
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| 76 | |
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| 77 | ext::shared_ptr<BasketGeneratingEngine> engine = |
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| 78 | ext::dynamic_pointer_cast<BasketGeneratingEngine>(r: engine_); |
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| 79 | QL_REQUIRE(engine, "engine is not a basket generating engine" ); |
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| 80 | engine_->reset(); |
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| 81 | setupArguments(engine_->getArguments()); |
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| 82 | engine_->getArguments()->validate(); |
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| 83 | return engine->calibrationBasket(exercise: exercise_, standardSwapBase, |
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| 84 | swaptionVolatility, basketType); |
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| 85 | } |
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| 86 | |
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| 87 | } |
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| 88 | |
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