cpicapfloorhelper.cpp

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/*
 Copyright (C) 2017 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
#include <qle/models/cpicapfloorhelper.hpp>
 
#include <ql/quotes/simplequote.hpp>
 
#include <boost/make_shared.hpp>
 
namespace QuantExt {
 
CpiCapFloorHelper::CpiCapFloorHelper(Option::Type type, Real baseCPI, const Date& maturity, const Calendar& fixCalendar,
                                     BusinessDayConvention fixConvention, const Calendar& payCalendar,
                                     BusinessDayConvention payConvention, Real strike,
                                     const Handle<ZeroInflationIndex>& infIndex, const Period& observationLag,
                                     Real marketPremium, CPI::InterpolationType observationInterpolation,
                                     BlackCalibrationHelper::CalibrationErrorType errorType)
    : BlackCalibrationHelper(Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.0)), errorType),
      // start date does not really matter ?
      instrument_(QuantLib::ext::shared_ptr<CPICapFloor>(new CPICapFloor(
          type, 1.0, Settings::instance().evaluationDate(), baseCPI, maturity, fixCalendar, fixConvention, payCalendar,
          payConvention, strike, infIndex.currentLink(), observationLag, observationInterpolation))) {
    QL_REQUIRE(errorType == BlackCalibrationHelper::PriceError ||
                   errorType == BlackCalibrationHelper::RelativePriceError,
               "CpiCapFloorHelper supports only PriceError and "
               "RelativePriceError error types");
    marketValue_ = marketPremium;
}
 
Real CpiCapFloorHelper::modelValue() const {
    calculate();
    instrument_->setPricingEngine(engine_);
    return instrument_->NPV();
}
 
Real CpiCapFloorHelper::blackPrice(Volatility) const {
    calculate();
    return marketValue_;
}
 
} // namespace QuantExt