AnalyticDkCpiCapFloorEngine Class Reference

Analytic dk cpi cap floor engine. More...

#include <qle/pricingengines/analyticdkcpicapfloorengine.hpp>

Inheritance diagram for AnalyticDkCpiCapFloorEngine:

Collaboration diagram for AnalyticDkCpiCapFloorEngine:

Public Member Functions
	AnalyticDkCpiCapFloorEngine (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, const Size index, const Real baseCPI)
void	calculate () const override

Private Attributes
const QuantLib::ext::shared_ptr< CrossAssetModel >	model_
const Size	index_
const Real	baseCPI_

Detailed Description

Analytic dk cpi cap floor engine.

Definition at line 34 of file analyticdkcpicapfloorengine.hpp.

Constructor & Destructor Documentation

AnalyticDkCpiCapFloorEngine()

AnalyticDkCpiCapFloorEngine	(	const QuantLib::ext::shared_ptr< CrossAssetModel > &	model,
		const Size	index,
		const Real	baseCPI
	)

Definition at line 28 of file analyticdkcpicapfloorengine.cpp.

    : model_(model), index_(index), baseCPI_(baseCPI) {}

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 32 of file analyticdkcpicapfloorengine.cpp.

                                                  {
 
    QL_DEPRECATED_DISABLE_WARNING
    bool interpolate = arguments_.observationInterpolation == CPI::Linear ||
                       (arguments_.observationInterpolation == CPI::AsIndex && arguments_.index->interpolated());
    QL_DEPRECATED_ENABLE_WARNING
 
    Real t = inflationYearFraction(arguments_.index->frequency(), interpolate,
                                   model_->infdk(index_)->termStructure()->dayCounter(),
                                   model_->infdk(index_)->termStructure()->baseDate(), arguments_.fixDate);
 
    if (t <= 0.0) {
        // option is expired, we do not value any possibly non settled
        // flows, i.e. set the npv to zero in this case
        results_.value = 0.0;
        return;
    }
 
    // Book, 13.37, 13.38
 
    Real k = std::pow(1.0 + arguments_.strike, t);
    Real kTilde = k * arguments_.baseCPI;
    Real nTilde = arguments_.nominal / arguments_.baseCPI;
 
    Real m = baseCPI_ *
             std::pow(1.0 + model_->infdk(index_)->termStructure()->zeroRate(arguments_.fixDate, Period(0, Days)), t);
    m = arguments_.index->fixing(arguments_.fixDate);
    Real Ht = Hy(index_).eval(*model_, t);
    Real v = Ht * Ht * zetay(index_).eval(*model_, t) -
             2.0 * Ht * integral(*model_, P(Hy(index_), ay(index_), ay(index_)), 0.0, t) +
             integral(*model_, P(Hy(index_), Hy(index_), ay(index_), ay(index_)), 0.0, t);
 
    Size irIdx = model_->ccyIndex(model_->infdk(index_)->currency());
    Real discount = model_->irlgm1f(irIdx)->termStructure()->discount(arguments_.payDate);
 
    results_.value = nTilde * blackFormula(arguments_.type, kTilde, m, std::sqrt(v), discount);
 
} // calculate()

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Member Data Documentation

model_

const QuantLib::ext::shared_ptr<CrossAssetModel> model_

private

Definition at line 40 of file analyticdkcpicapfloorengine.hpp.

index_

const Size index_

private

Definition at line 41 of file analyticdkcpicapfloorengine.hpp.

baseCPI_

const Real baseCPI_

private

Definition at line 42 of file analyticdkcpicapfloorengine.hpp.