/usr/include/ql/cashflows/lineartsrpricer.hpp is in libquantlib0-dev 1.12-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2014, 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 lineartsrpricer.hpp
\brief linear terminal swap rate model for cms coupon pricing
*/
#ifndef quantlib_lineartsr_pricer_hpp
#define quantlib_lineartsr_pricer_hpp
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/math/integrals/integral.hpp>
namespace QuantLib {
class CmsCoupon;
class YieldTermStructure;
//! CMS-coupon pricer
/*! Prices a cms coupon using a linear terminal swap rate model
The slope parameter is linked to a gaussian short rate model.
Reference: Andersen, Piterbarg, Interest Rate Modeling, 16.3.2
The cut off point for integration can be set
- by explicitly specifying the lower and upper bound
- by defining the lower and upper bound to be the strike where
a vanilla swaption has 1% or less vega of the atm swaption
- by defining the lower and upper bound to be the strike where
undeflated (!) payer resp. receiver prices are below a given
threshold
- by specificying a number of standard deviations to cover
using a Black Scholes process with an atm volatility as
a benchmark
In every case the lower and upper bound are applied though.
In case the smile section is shifted lognormal, the specified
lower and upper bound are applied to strike + shift so that
e.g. a zero lower bound always refers to the lower bound of
the rates in the shifted lognormal model.
Note that for normal volatility input the lower rate bound
is adjusted to min(-upperBound, lowerBound), except the bounds
are set explicitly.
*/
class LinearTsrPricer : public CmsCouponPricer, public MeanRevertingPricer {
private:
static const Real defaultLowerBound,
defaultUpperBound;
public:
struct Settings {
Settings()
: strategy_(RateBound), vegaRatio_(0.01),
priceThreshold_(1.0E-8), stdDevs_(3.0),
lowerRateBound_(defaultLowerBound), upperRateBound_(defaultUpperBound),
defaultBounds_(true) {}
Settings &withRateBound(const Real lowerRateBound = defaultLowerBound,
const Real upperRateBound = defaultUpperBound) {
strategy_ = RateBound;
lowerRateBound_ = lowerRateBound;
upperRateBound_ = upperRateBound;
defaultBounds_ = false;
return *this;
}
Settings &withVegaRatio(const Real vegaRatio = 0.01) {
strategy_ = VegaRatio;
vegaRatio_ = vegaRatio;
lowerRateBound_ = defaultLowerBound;
upperRateBound_ = defaultUpperBound;
defaultBounds_ = true;
return *this;
}
/*! \deprecated Use the overload taking 3 parameters.
Deprecated in version 1.10.
*/
QL_DEPRECATED
Settings &withVegaRatio(const Real vegaRatio,
const Real lowerRateBound) {
strategy_ = VegaRatio;
vegaRatio_ = vegaRatio;
lowerRateBound_ = lowerRateBound;
upperRateBound_ = defaultUpperBound;
defaultBounds_ = false;
return *this;
}
Settings &withVegaRatio(const Real vegaRatio,
const Real lowerRateBound,
const Real upperRateBound) {
strategy_ = VegaRatio;
vegaRatio_ = vegaRatio;
lowerRateBound_ = lowerRateBound;
upperRateBound_ = upperRateBound;
defaultBounds_ = false;
return *this;
}
Settings &withPriceThreshold(const Real priceThreshold = 1.0E-8) {
strategy_ = PriceThreshold;
priceThreshold_ = priceThreshold;
lowerRateBound_ = defaultLowerBound;
upperRateBound_ = defaultUpperBound;
defaultBounds_ = true;
return *this;
}
/*! \deprecated Use the overload taking 3 parameters.
Deprecated in version 1.10.
*/
QL_DEPRECATED
Settings &withPriceThreshold(const Real priceThreshold,
const Real lowerRateBound) {
strategy_ = PriceThreshold;
priceThreshold_ = priceThreshold;
lowerRateBound_ = lowerRateBound;
upperRateBound_ = defaultUpperBound;
defaultBounds_ = false;
return *this;
}
Settings &withPriceThreshold(const Real priceThreshold,
const Real lowerRateBound,
const Real upperRateBound) {
strategy_ = PriceThreshold;
priceThreshold_ = priceThreshold;
lowerRateBound_ = lowerRateBound;
upperRateBound_ = upperRateBound;
defaultBounds_ = false;
return *this;
}
Settings &withBSStdDevs(const Real stdDevs = 3.0) {
strategy_ = BSStdDevs;
stdDevs_ = stdDevs;
lowerRateBound_ = defaultLowerBound;
upperRateBound_ = defaultUpperBound;
defaultBounds_ = true;
return *this;
}
/*! \deprecated Use the overload taking 3 parameters.
Deprecated in version 1.10.
*/
QL_DEPRECATED
Settings &withBSStdDevs(const Real stdDevs,
const Real lowerRateBound) {
strategy_ = BSStdDevs;
stdDevs_ = stdDevs;
lowerRateBound_ = lowerRateBound;
upperRateBound_ = defaultUpperBound;
defaultBounds_ = false;
return *this;
}
Settings &withBSStdDevs(const Real stdDevs,
const Real lowerRateBound,
const Real upperRateBound) {
strategy_ = BSStdDevs;
stdDevs_ = stdDevs;
lowerRateBound_ = lowerRateBound;
upperRateBound_ = upperRateBound;
defaultBounds_ = false;
return *this;
}
enum Strategy {
RateBound,
VegaRatio,
PriceThreshold,
BSStdDevs
};
Strategy strategy_;
Real vegaRatio_;
Real priceThreshold_;
Real stdDevs_;
Real lowerRateBound_, upperRateBound_;
bool defaultBounds_;
};
LinearTsrPricer(const Handle<SwaptionVolatilityStructure> &swaptionVol,
const Handle<Quote> &meanReversion,
const Handle<YieldTermStructure> &couponDiscountCurve =
Handle<YieldTermStructure>(),
const Settings &settings = Settings(),
const boost::shared_ptr<Integrator> &integrator =
boost::shared_ptr<Integrator>());
/* */
virtual Real swapletPrice() const;
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;
/* */
Real meanReversion() const;
void setMeanReversion(const Handle<Quote> &meanReversion) {
unregisterWith(meanReversion_);
meanReversion_ = meanReversion;
registerWith(meanReversion_);
update();
}
private:
Real GsrG(const Date &d) const;
Real singularTerms(const Option::Type type, const Real strike) const;
Real integrand(const Real strike) const;
Real a_, b_;
class VegaRatioHelper {
public:
VegaRatioHelper(const SmileSection *section, const Real targetVega)
: section_(section), targetVega_(targetVega) {}
Real operator()(Real strike) const {
return section_->vega(strike) - targetVega_;
};
const SmileSection *section_;
const Real targetVega_;
};
class PriceHelper {
public:
PriceHelper(const SmileSection *section, const Option::Type type,
const Real targetPrice)
: section_(section), targetPrice_(targetPrice), type_(type) {}
Real operator()(Real strike) const {
return section_->optionPrice(strike, type_) - targetPrice_;
};
const SmileSection *section_;
const Real targetPrice_;
const Option::Type type_;
};
void initialize(const FloatingRateCoupon &coupon);
Real optionletPrice(Option::Type optionType, Real strike) const;
Real strikeFromVegaRatio(Real ratio, Option::Type optionType,
Real referenceStrike) const;
Real strikeFromPrice(Real price, Option::Type optionType,
Real referenceStrike) const;
Handle<Quote> meanReversion_;
Handle<YieldTermStructure> forwardCurve_, discountCurve_;
Handle<YieldTermStructure> couponDiscountCurve_;
const CmsCoupon *coupon_;
Date today_, paymentDate_, fixingDate_;
Real gearing_, spread_;
Period swapTenor_;
Real spreadLegValue_, swapRateValue_, couponDiscountRatio_, annuity_;
boost::shared_ptr<SwapIndex> swapIndex_;
boost::shared_ptr<VanillaSwap> swap_;
boost::shared_ptr<SmileSection> smileSection_;
Settings settings_;
DayCounter volDayCounter_;
boost::shared_ptr<Integrator> integrator_;
Real adjustedLowerBound_, adjustedUpperBound_;
};
}
#endif
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