/usr/include/ql/cashflows/lineartsrpricer.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
Copyright (C) 2014 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.
*/
class LinearTsrPricer : public CmsCouponPricer, public MeanRevertingPricer {
public:
struct Settings {
Settings()
: strategy_(RateBound), vegaRatio_(0.01),
priceThreshold_(1.0E-8), stdDevs_(3.0),
lowerRateBound_(0.0001), upperRateBound_(2.0000) {}
Settings &withRateBound(const Real lowerRateBound = 0.0001,
const Real upperRateBound = 2.0000) {
strategy_ = RateBound;
lowerRateBound_ = lowerRateBound;
upperRateBound_ = upperRateBound;
return *this;
}
Settings &withVegaRatio(const Real vegaRatio = 0.01,
const Real lowerRateBound = 0.0001,
const Real upperRateBound = 2.0000) {
strategy_ = VegaRatio;
vegaRatio_ = vegaRatio;
lowerRateBound_ = lowerRateBound;
upperRateBound_ = upperRateBound;
return *this;
}
Settings &withPriceThreshold(const Real priceThreshold = 1.0E-8,
const Real lowerRateBound = 0.0001,
const Real upperRateBound = 2.0000) {
strategy_ = PriceThreshold;
priceThreshold_ = priceThreshold;
lowerRateBound_ = lowerRateBound;
upperRateBound_ = upperRateBound;
return *this;
}
Settings &withBSStdDevs(const Real stdDevs = 3.0,
const Real lowerRateBound = 0.0001,
const Real upperRateBound = 2.0000) {
strategy_ = BSStdDevs;
stdDevs_ = stdDevs;
lowerRateBound_ = lowerRateBound;
upperRateBound_ = upperRateBound;
return *this;
}
enum Strategy {
RateBound,
VegaRatio,
PriceThreshold,
BSStdDevs
};
Strategy strategy_;
Real vegaRatio_;
Real priceThreshold_;
Real stdDevs_;
Real lowerRateBound_, upperRateBound_;
};
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:
const Real GsrG(const Date &d) const;
const Real singularTerms(const Option::Type type, const Real strike) const;
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 shiftedLowerBound_, shiftedUpperBound_;
};
}
#endif
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