EquityCouponPricer Class Reference

Pricer for equity coupons. More...

#include <qle/cashflows/equitycouponpricer.hpp>

Inheritance diagram for EquityCouponPricer:

Collaboration diagram for EquityCouponPricer:

Classes
struct	AdditionalResultCache

Public Member Functions
virtual	~EquityCouponPricer ()
Interface
virtual Rate	swapletRate ()
virtual void	initialize (const EquityCoupon &coupon)
const AdditionalResultCache &	additionalResultCache () const

Observer interface
const EquityCoupon *	coupon_
QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 >	equityCurve_
QuantLib::ext::shared_ptr< FxIndex >	fxIndex_
EquityReturnType	returnType_
Real	dividendFactor_
AdditionalResultCache	additionalResultCache_
virtual void	update () override

Detailed Description

Pricer for equity coupons.

Definition at line 36 of file equitycouponpricer.hpp.

Constructor & Destructor Documentation

~EquityCouponPricer()

virtual ~EquityCouponPricer ( )

virtual

Definition at line 52 of file equitycouponpricer.hpp.

{}

Member Function Documentation

swapletRate()

Rate swapletRate ( )

virtual

Definition at line 35 of file equitycouponpricer.cpp.

                                     {
    additionalResultCache_.clear();
 
    // Start fixing shouldn't include dividends as the assumption of continuous dividends means they will have been paid
    // as they accrued in the previous period (or at least at the end when performance is measured).
    additionalResultCache_.initialPrice = coupon_->initialPrice();
    additionalResultCache_.endFixing = equityCurve_->fixing(coupon_->fixingEndDate(), false, false);
 
    // fx rates at start and end, at start we only convert if the initial price is not already in target ccy
    additionalResultCache_.startFxFixing =
        fxIndex_ && !coupon_->initialPriceIsInTargetCcy() ? fxIndex_->fixing(coupon_->fixingStartDate()) : 1.0;
    additionalResultCache_.endFxFixing = fxIndex_ ? fxIndex_->fixing(coupon_->fixingEndDate()) : 1.0;
 
    Real dividends = 0.0;
 
    // Dividends that are already fixed dividends + yield accrued over remaining period.
    // yield accrued = Forward without dividend yield - Forward with dividend yield
    if (returnType_ == EquityReturnType::Total || returnType_ == EquityReturnType::Dividend) {
        // projected dividends from today until the fixing end date
        additionalResultCache_.endFixingTotal = equityCurve_->fixing(coupon_->fixingEndDate(), false, true);
        dividends = additionalResultCache_.endFixingTotal - additionalResultCache_.endFixing;
        // subtract projected dividends from today until the fixing start date
        if (coupon_->fixingStartDate() > Settings::instance().evaluationDate()) {
            additionalResultCache_.startFixingTotal = equityCurve_->fixing(coupon_->fixingStartDate(), false, true);
            additionalResultCache_.startFixing = equityCurve_->fixing(coupon_->fixingStartDate(), false, false);
            dividends -= (additionalResultCache_.startFixingTotal - additionalResultCache_.startFixing);
        }
        additionalResultCache_.forecastDividends = dividends;
        // add historical dividends
        additionalResultCache_.pastDividends =
            equityCurve_->dividendsBetweenDates(coupon_->fixingStartDate(), coupon_->fixingEndDate());
        dividends += additionalResultCache_.pastDividends;
    }
 
    if (returnType_ == EquityReturnType::Dividend)
        return dividends; 
    else if (additionalResultCache_.initialPrice == 0)
        return (additionalResultCache_.endFixing + dividends * dividendFactor_) * additionalResultCache_.endFxFixing;
    else if (returnType_ == EquityReturnType::Absolute)
        return ((additionalResultCache_.endFixing + dividends * dividendFactor_) * additionalResultCache_.endFxFixing -
                additionalResultCache_.initialPrice * additionalResultCache_.startFxFixing);
    else
        return ((additionalResultCache_.endFixing + dividends * dividendFactor_) * additionalResultCache_.endFxFixing -
                additionalResultCache_.initialPrice * additionalResultCache_.startFxFixing) /
               (additionalResultCache_.initialPrice * additionalResultCache_.startFxFixing);
}

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initialize()

void initialize ( const EquityCoupon &  coupon )

virtual

Definition at line 82 of file equitycouponpricer.cpp.

                                                              {
 
    coupon_ = &coupon;
 
    equityCurve_ = QuantLib::ext::dynamic_pointer_cast<QuantExt::EquityIndex2>(coupon.equityCurve());
    fxIndex_ = QuantLib::ext::dynamic_pointer_cast<FxIndex>(coupon.fxIndex());
    returnType_ = coupon.returnType();
    dividendFactor_ = coupon.dividendFactor();
}

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additionalResultCache()

const AdditionalResultCache & additionalResultCache

(

)

const

Definition at line 57 of file equitycouponpricer.hpp.

{ return additionalResultCache_; };

update()

virtual void update ( )

overridevirtual

Definition at line 62 of file equitycouponpricer.hpp.

{ notifyObservers(); }

Member Data Documentation

coupon_

const EquityCoupon* coupon_

protected

Definition at line 65 of file equitycouponpricer.hpp.

equityCurve_

QuantLib::ext::shared_ptr<QuantExt::EquityIndex2> equityCurve_

protected

Definition at line 66 of file equitycouponpricer.hpp.

fxIndex_

QuantLib::ext::shared_ptr<FxIndex> fxIndex_

protected

Definition at line 67 of file equitycouponpricer.hpp.

returnType_

EquityReturnType returnType_

protected

Definition at line 68 of file equitycouponpricer.hpp.

dividendFactor_

Real dividendFactor_

protected

Definition at line 69 of file equitycouponpricer.hpp.

additionalResultCache_

AdditionalResultCache additionalResultCache_

protected

Definition at line 70 of file equitycouponpricer.hpp.