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Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
CPICapFloorEngine Class Referenceabstract

Basse Class for Black / Bachelier CPI cap floor pricing engines. More...

#include <qle/pricingengines/cpiblackcapfloorengine.hpp>

+ Inheritance diagram for CPICapFloorEngine:
+ Collaboration diagram for CPICapFloorEngine:

Public Member Functions

 CPICapFloorEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::Handle< QuantLib::CPIVolatilitySurface > &surface, const bool ttmFromLastAvailableFixing=false)
 
virtual void calculate () const override
 
virtual ~CPICapFloorEngine ()
 
void setVolatility (const QuantLib::Handle< QuantLib::CPIVolatilitySurface > &surface)
 

Protected Member Functions

virtual double optionPriceImpl (QuantLib::Option::Type type, double forward, double strike, double stdDev, double discount) const =0
 

Protected Attributes

QuantLib::Handle< QuantLib::YieldTermStructure > discountCurve_
 
QuantLib::Handle< QuantLib::CPIVolatilitySurface > volatilitySurface_
 
bool ttmFromLastAvailableFixing_
 

Detailed Description

Basse Class for Black / Bachelier CPI cap floor pricing engines.

Definition at line 34 of file cpiblackcapfloorengine.hpp.

Constructor & Destructor Documentation

◆ CPICapFloorEngine()

CPICapFloorEngine ( const QuantLib::Handle< QuantLib::YieldTermStructure > &  discountCurve,
const QuantLib::Handle< QuantLib::CPIVolatilitySurface > &  surface,
const bool  ttmFromLastAvailableFixing = false 
)

Definition at line 34 of file cpiblackcapfloorengine.cpp.

37 : discountCurve_(discountCurve), volatilitySurface_(surface),
38 ttmFromLastAvailableFixing_(ttmFromLastAvailableFixing) {
39 registerWith(discountCurve_);
40 registerWith(volatilitySurface_);
41}
QuantExt::CPICapFloorEngine::volatilitySurface_
QuantLib::Handle< QuantLib::CPIVolatilitySurface > volatilitySurface_
Definition: cpiblackcapfloorengine.hpp:49
QuantExt::CPICapFloorEngine::discountCurve_
QuantLib::Handle< QuantLib::YieldTermStructure > discountCurve_
Definition: cpiblackcapfloorengine.hpp:48

◆ ~CPICapFloorEngine()

virtual ~CPICapFloorEngine ( )
virtual

Definition at line 42 of file cpiblackcapfloorengine.hpp.

42{}

Member Function Documentation

◆ calculate()

void calculate ( ) const
overridevirtual

Definition at line 52 of file cpiblackcapfloorengine.cpp.

52 {
53 Date maturity = arguments_.payDate;
54
55 auto index = arguments_.index;
56 DiscountFactor d = arguments_.nominal * discountCurve_->discount(maturity);
57
58 QL_DEPRECATED_DISABLE_WARNING
59 bool isInterpolated = arguments_.observationInterpolation == CPI::Linear ||
60 (arguments_.observationInterpolation == CPI::AsIndex && index->interpolated());
61 QL_DEPRECATED_ENABLE_WARNING
62
63 Date optionObservationDate = QuantExt::ZeroInflation::fixingDate(arguments_.payDate, arguments_.observationLag,
64 index->frequency(), isInterpolated);
65
66 Date optionBaseDate = QuantExt::ZeroInflation::fixingDate(arguments_.startDate, arguments_.observationLag,
67 index->frequency(), isInterpolated);
68
69 Real optionBaseFixing = arguments_.baseCPI == Null<Real>()
70 ? ZeroInflation::cpiFixing(index, arguments_.startDate,
71 arguments_.observationLag, isInterpolated)
72 : arguments_.baseCPI;
73
74 Real atmCPIFixing = ZeroInflation::cpiFixing(index, maturity,
75 arguments_.observationLag, isInterpolated);
76
77 Time timeToMaturityFromInception =
78 inflationYearFraction(index->frequency(), isInterpolated, index->zeroInflationTermStructure()->dayCounter(),
79 optionBaseDate, optionObservationDate);
80
81 Real atmGrowth = atmCPIFixing / optionBaseFixing;
82 Real strike = std::pow(1.0 + arguments_.strike, timeToMaturityFromInception);
83
84 auto lastKnownFixingDate = ZeroInflation::lastAvailableFixing(*index, volatilitySurface_->referenceDate());
85 auto observationPeriod = inflationPeriod(optionObservationDate, index->frequency());
86 auto requiredFixing = isInterpolated ? observationPeriod.first : observationPeriod.second + 1 * Days;
87
88
89 // if time from base <= 0 the fixing is already known and stdDev is zero, return the intrinsic value
90 Real stdDev = 0.0;
91 Real vol = 0.0;
92 Real strikeZeroRate = 0.0;
93 Real ttmFromSurfaceBaseDate = 0.0;
94 Real surfaceBaseFixing = 0.0;
95 if (requiredFixing > lastKnownFixingDate) {
96 // For reading volatility in the current market volatiltiy structure
97 // baseFixingSwap(T0) * pow(1 + strikeRate(T0), T-T0) = StrikeIndex = baseFixing(t) * pow(1 + strikeRate(t), T-t),
98 // solve for strikeRate(t):
99 surfaceBaseFixing =
100 ZeroInflation::cpiFixing(index, volatilitySurface_->baseDate(),
101 0 * Days, volatilitySurface_->indexIsInterpolated());
102 ttmFromSurfaceBaseDate =
103 inflationYearFraction(volatilitySurface_->frequency(), volatilitySurface_->indexIsInterpolated(),
104 index->zeroInflationTermStructure()->dayCounter(), volatilitySurface_->baseDate(), optionObservationDate);
105 strikeZeroRate = pow(optionBaseFixing / surfaceBaseFixing * strike, 1.0 / ttmFromSurfaceBaseDate) - 1.0;
106 vol = volatilitySurface_->volatility(optionObservationDate, strikeZeroRate, 0 * Days);
107 if (ttmFromLastAvailableFixing_) {
108 auto ttm =
109 inflationYearFraction(volatilitySurface_->frequency(), volatilitySurface_->indexIsInterpolated(),
110 volatilitySurface_->dayCounter(), lastKnownFixingDate, optionObservationDate);
111 stdDev = std::sqrt(ttm * vol * vol);
112 } else {
113 stdDev = std::sqrt(volatilitySurface_->totalVariance(optionObservationDate, strikeZeroRate, 0 * Days));
114 }
115 }
116 results_.value = optionPriceImpl(arguments_.type, strike, atmGrowth, stdDev, d);
117
118 results_.additionalResults["npv"] = results_.value;
119 results_.additionalResults["strike"] = strike;
120 results_.additionalResults["forward"] = atmGrowth;
121 results_.additionalResults["stdDev"] = stdDev;
122 results_.additionalResults["discount"] = d;
123 results_.additionalResults["vol"] = vol;
124 results_.additionalResults["timeToExpiry"] = stdDev * stdDev / (vol * vol);
125 results_.additionalResults["BaseDate_trade"] = optionBaseDate;
126 results_.additionalResults["BaseDate_today"] = volatilitySurface_->baseDate();
127 results_.additionalResults["FixingDate"] = optionObservationDate;
128 results_.additionalResults["PaymentDate"] = maturity;
129 results_.additionalResults["BaseCPI_trade"] = optionBaseFixing;
130 results_.additionalResults["BaseCPI_today"] = surfaceBaseFixing;
131 results_.additionalResults["ForwardCPI"] = atmCPIFixing;
132 results_.additionalResults["strike_asof_trade"] = arguments_.strike;
133 results_.additionalResults["strike_asof_today"] = strikeZeroRate;
134 results_.additionalResults["timeToExpiry_from_trade_baseDate"] = timeToMaturityFromInception;
135 results_.additionalResults["timeToExpiry_from_todays_baseDate"] = ttmFromSurfaceBaseDate;
136
137
138
139
140 // std::cout << "CPIBlackCapFloorEngine ==========" << std::endl
141 // << "startDate = " << QuantLib::io::iso_date(arguments_.startDate) << std::endl
142 // << "maturityDate = " << QuantLib::io::iso_date(maturity) << std::endl
143 // << "effStartDate = " << QuantLib::io::iso_date(effectiveStart) << std::endl
144 // << "effEndDate = " << QuantLib::io::iso_date(effectiveMaturity) << std::endl
145 // << "lagDiff = " << lagDiff << std::endl
146 // << "timeFromStart = " << timeFromStart << std::endl
147 // << "timeFromBase = " << timeFromBase << std::endl
148 // << "baseFixing = " << baseFixing << std::endl
149 // << "baseCPI = " << baseCPI << std::endl
150 // << "K = " << K << std::endl
151 // << "F = " << F << std::endl
152 // << "stdDev = " << stdDev << std::endl
153 // << "value = " << results_.value << std::endl;
154}
results_
const Instrument::results * results_
Definition: cdsoption.cpp:81
QuantExt::CPICapFloorEngine::optionPriceImpl
virtual double optionPriceImpl(QuantLib::Option::Type type, double forward, double strike, double stdDev, double discount) const =0
QuantExt::ZeroInflation::fixingDate
QuantLib::Date fixingDate(const QuantLib::Date &d, const QuantLib::Period obsLag, const QuantLib::Frequency freq, bool interpolated)
Definition: inflation.cpp:183
QuantExt::ZeroInflation::lastAvailableFixing
QuantLib::Date lastAvailableFixing(const QuantLib::ZeroInflationIndex &index, const QuantLib::Date &asof)
Check if today - availabilityLag is already known, otherwise return the fixingDate of the previous fi...
Definition: inflation.cpp:156
QuantExt::ZeroInflation::cpiFixing
QuantLib::Rate cpiFixing(const QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > &index, const QuantLib::Date &maturity, const QuantLib::Period &obsLag, bool interpolated)
Computes a CPI fixing giving an zeroIndex, with interpolation if needed.
Definition: inflation.cpp:166
QuantExt::pow
CompiledFormula pow(CompiledFormula x, const CompiledFormula &y)
Definition: compiledformula.cpp:165
arguments_
Swap::arguments * arguments_
Definition: tenorbasisswap.cpp:59
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◆ setVolatility()

void setVolatility ( const QuantLib::Handle< QuantLib::CPIVolatilitySurface > &  surface)

Definition at line 44 of file cpiblackcapfloorengine.cpp.

44 {
45 if (!volatilitySurface_.empty())
46 unregisterWith(volatilitySurface_);
47 volatilitySurface_ = surface;
48 registerWith(volatilitySurface_);
49 update();
50}

◆ optionPriceImpl()

virtual double optionPriceImpl ( QuantLib::Option::Type  type,
double  forward,
double  strike,
double  stdDev,
double  discount 
) const
protectedpure virtual

Implemented in CPIBachelierCapFloorEngine, and CPIBlackCapFloorEngine.

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Member Data Documentation

◆ discountCurve_

QuantLib::Handle<QuantLib::YieldTermStructure> discountCurve_
protected

Definition at line 48 of file cpiblackcapfloorengine.hpp.

◆ volatilitySurface_

QuantLib::Handle<QuantLib::CPIVolatilitySurface> volatilitySurface_
protected

Definition at line 49 of file cpiblackcapfloorengine.hpp.

◆ ttmFromLastAvailableFixing_

bool ttmFromLastAvailableFixing_
protected

Definition at line 50 of file cpiblackcapfloorengine.hpp.

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