IntrinsicAscotEngine Class Reference

Intrinsic engine for Ascots. More...

#include <qle/pricingengines/intrinsicascotengine.hpp>

Inheritance diagram for IntrinsicAscotEngine:

Collaboration diagram for IntrinsicAscotEngine:

Public Member Functions
	IntrinsicAscotEngine (const Handle< YieldTermStructure > &discountCurve)
void	calculate () const override

Private Attributes
Handle< YieldTermStructure >	discountCurve_

Detailed Description

Intrinsic engine for Ascots.

Definition at line 44 of file intrinsicascotengine.hpp.

Constructor & Destructor Documentation

IntrinsicAscotEngine()

IntrinsicAscotEngine

(

const Handle< YieldTermStructure > &

discountCurve

)

Definition at line 28 of file intrinsicascotengine.cpp.

    : discountCurve_(discountCurve) {
    registerWith(discountCurve_);
}

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 33 of file intrinsicascotengine.cpp.

                                           {
 
    QL_REQUIRE(arguments_.exercise->type() == Exercise::American, "not an American option");
 
    ConvertibleBond2 bond = *arguments_.bond;
    Real bondPrice = arguments_.bondQuantity * bond.NPV();
 
    Date referenceDate = discountCurve_->referenceDate();
    Date settlementDate = bond.calendar().advance(referenceDate, bond.settlementDays(), QuantLib::Days);
 
    Real currentNotional = Null<Real>();
    for (auto const& c : bond.cashflows()) {
        if (auto coupon = QuantLib::ext::dynamic_pointer_cast<QuantLib::Coupon>(c)) {
            currentNotional = coupon->nominal();
            if (c->date() > referenceDate)
                break;
        }
    }
 
    QL_REQUIRE(currentNotional != Null<Real>(), "IntrinsicAscotEngine::calculate(): could not determine current "
                                                "notional, underlying bond must have at least one coupon");
 
    Leg upfrontLeg;
    upfrontLeg.push_back(QuantLib::ext::make_shared<SimpleCashFlow>(currentNotional, settlementDate));
    Real upfrontLegNpv = CashFlows::npv(upfrontLeg, **discountCurve_, false, referenceDate, referenceDate);
 
    // includes redemption flows
    Real assetLegNpv = CashFlows::npv(bond.cashflows(), **discountCurve_, false, referenceDate, referenceDate);
 
    Real redemptionLegNpv = CashFlows::npv(bond.redemptions(), **discountCurve_, false, referenceDate, referenceDate);
 
    // multiplied by bondNotional already
    Real fundingLegNpv = CashFlows::npv(arguments_.fundingLeg, **discountCurve_, true, referenceDate, referenceDate);
 
    Real strike = arguments_.bondQuantity * (upfrontLegNpv + assetLegNpv - redemptionLegNpv) - fundingLegNpv;
 
    results_.value = PlainVanillaPayoff(arguments_.callPut, strike)(bondPrice);
    results_.additionalResults["bondPrice"] = bondPrice;
    results_.additionalResults["strike"] = strike;
    results_.additionalResults["fundingLegNpv"] = fundingLegNpv;
    results_.additionalResults["redemptionLegNpv"] = redemptionLegNpv * arguments_.bondQuantity;
    results_.additionalResults["assetLegNpv"] = assetLegNpv * arguments_.bondQuantity;
    results_.additionalResults["upfrontLegNpv"] = upfrontLegNpv * arguments_.bondQuantity;
    results_.additionalResults["bondQuantity"] = arguments_.bondQuantity;
}

Member Data Documentation

discountCurve_

Handle<YieldTermStructure> discountCurve_

private

Definition at line 50 of file intrinsicascotengine.hpp.