discountingequityforwardengine.cpp

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/*
 Copyright (C) 2016 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 <ql/event.hpp>
 
#include <qle/pricingengines/discountingequityforwardengine.hpp>
 
namespace QuantExt {
 
DiscountingEquityForwardEngine::DiscountingEquityForwardEngine(
    const Handle<YieldTermStructure>& equityInterestRateCurve, const Handle<YieldTermStructure>& dividendYieldCurve,
    const Handle<Quote>& equitySpot, const Handle<YieldTermStructure>& discountCurve,
    boost::optional<bool> includeSettlementDateFlows, const Date& settlementDate, const Date& npvDate)
    : equityRefRateCurve_(equityInterestRateCurve), divYieldCurve_(dividendYieldCurve), equitySpot_(equitySpot),
      discountCurve_(discountCurve), includeSettlementDateFlows_(includeSettlementDateFlows),
      settlementDate_(settlementDate), npvDate_(npvDate) {
 
    registerWith(equityRefRateCurve_);
    registerWith(divYieldCurve_);
    registerWith(equitySpot_);
    registerWith(discountCurve_);
}
 
void DiscountingEquityForwardEngine::calculate() const {
 
    Date npvDate = npvDate_;
    if (npvDate == Null<Date>()) {
        npvDate = divYieldCurve_->referenceDate();
    }
    Date settlementDate = settlementDate_;
    if (settlementDate == Null<Date>()) {
        settlementDate = npvDate;
    }
 
    results_.value = 0.0;
 
    if (!detail::simple_event(arguments_.maturityDate).hasOccurred(settlementDate, includeSettlementDateFlows_)) {
        Real lsInd = ((arguments_.longShort == Position::Long) ? 1.0 : -1.0);
        Real qty = arguments_.quantity;
        Date maturity = arguments_.maturityDate;
        Real strike = arguments_.strike;
        Real forwardPrice =
            equitySpot_->value() * divYieldCurve_->discount(maturity) / equityRefRateCurve_->discount(maturity);
        DiscountFactor df = discountCurve_->discount(maturity);
        results_.value = (lsInd * qty) * (forwardPrice - strike) * df;
 
        results_.additionalResults["forwardPrice"] = forwardPrice;
        results_.additionalResults["currentNotional"] = forwardPrice * strike;
    }
} // calculate
 
} // namespace QuantExt