LinearAnnuityMappingBuilder Class Reference

#include <qle/models/linearannuitymapping.hpp>

Inheritance diagram for LinearAnnuityMappingBuilder:

Collaboration diagram for LinearAnnuityMappingBuilder:

Public Member Functions
	LinearAnnuityMappingBuilder (const Real a, const Real b)
	LinearAnnuityMappingBuilder (const Handle< Quote > &reversion)
QuantLib::ext::shared_ptr< AnnuityMapping >	build (const Date &valuationDate, const Date &optionDate, const Date &paymentDate, const VanillaSwap &underlying, const Handle< YieldTermStructure > &discountCurve) override
Public Member Functions inherited from AnnuityMappingBuilder
virtual	~AnnuityMappingBuilder ()
virtual QuantLib::ext::shared_ptr< AnnuityMapping >	build (const Date &valuationDate, const Date &optionDate, const Date &paymentDate, const VanillaSwap &underlying, const Handle< YieldTermStructure > &discountCurve)=0
void	update () override

Private Attributes
Real	a_ = Null<Real>()
Real	b_ = Null<Real>()
Handle< Quote >	reversion_

Detailed Description

linear annuity mapping builder

Definition at line 47 of file linearannuitymapping.hpp.

Constructor & Destructor Documentation

LinearAnnuityMappingBuilder() [1/2]

LinearAnnuityMappingBuilder	(	const Real	a,
		const Real	b
	)

Definition at line 39 of file linearannuitymapping.cpp.

: a_(a), b_(b) {}

LinearAnnuityMappingBuilder() [2/2]

LinearAnnuityMappingBuilder

(

const Handle< Quote > &

reversion

)

Definition at line 40 of file linearannuitymapping.cpp.

                                                                                       : reversion_(reversion) {
    registerWith(reversion_);
}

Member Function Documentation

build()

QuantLib::ext::shared_ptr< AnnuityMapping > build ( const Date &  valuationDate, const Date &  optionDate, const Date &  paymentDate, const VanillaSwap &  underlying, const Handle< YieldTermStructure > &  discountCurve  )

overridevirtual

Implements AnnuityMappingBuilder.

Definition at line 53 of file linearannuitymapping.cpp.

                                                                                                                      {
 
    // no need for an actual mapping, since the coupon amount is deterministic, i.e. model-independent
 
    if (optionDate <= valuationDate)
        return QuantLib::ext::make_shared<LinearAnnuityMapping>(0.0, 0.0);
 
    // build the mapping dependent on whether a, b or a reversion is given
 
    if (a_ != Null<Real>() && b_ != Null<Real>()) {
        return QuantLib::ext::make_shared<LinearAnnuityMapping>(a_, b_);
    } else if (!reversion_.empty()) {
        Real atmForward = underlying.fairRate();
        Real gx = 0.0, gy = 0.0;
        for (Size i = 0; i < underlying.fixedLeg().size(); i++) {
            QuantLib::ext::shared_ptr<Coupon> c = QuantLib::ext::dynamic_pointer_cast<Coupon>(underlying.fixedLeg()[i]);
            Real yf = c->accrualPeriod();
            Real pv = yf * discountCurve->discount(c->date());
            gx += pv * GsrG(discountCurve->dayCounter().yearFraction(optionDate, c->date()), reversion_->value());
            gy += pv;
        }
        Real gamma = gx / gy;
        Date lastd = underlying.fixedLeg().back()->date();
        Real a =
            discountCurve->discount(paymentDate) *
            (gamma - GsrG(discountCurve->dayCounter().yearFraction(optionDate, paymentDate), reversion_->value())) /
            (discountCurve->discount(lastd) *
                 GsrG(discountCurve->dayCounter().yearFraction(optionDate, lastd), reversion_->value()) +
             atmForward * gy * gamma);
        Real b = discountCurve->discount(paymentDate) / gy - a * atmForward;
        return QuantLib::ext::make_shared<LinearAnnuityMapping>(a, b);
    } else {
        QL_FAIL("LinearAnnuityMapping::build(): failed, because neither a, b nor a reversion is given");
    }
}

Member Data Documentation

a_

Real a_ = Null<Real>()

private

Definition at line 56 of file linearannuitymapping.hpp.

b_

Real b_ = Null<Real>()

private

Definition at line 56 of file linearannuitymapping.hpp.

reversion_

Handle<Quote> reversion_

private

Definition at line 57 of file linearannuitymapping.hpp.