averageoiscouponpricer.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2016 Stefano Fondi
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file averageoiscouponpricer.hpp
    \brief pricer for arithmetically-averaged overnight-indexed coupons
*/
 
#ifndef quantlib_average_ois_coupon_pricer_hpp
#define quantlib_average_ois_coupon_pricer_hpp
 
#include <ql/cashflows/overnightindexedcoupon.hpp>
#include <ql/cashflows/couponpricer.hpp>
 
namespace QuantLib {
 
    /*! pricer for arithmetically averaged overnight indexed coupons
    Reference: Katsumi Takada 2011, Valuation of Arithmetically Average of
    Fed Funds Rates and Construction of the US Dollar Swap Yield Curve
    */
    class ArithmeticAveragedOvernightIndexedCouponPricer
                                         : public FloatingRateCouponPricer {
    public:
        explicit ArithmeticAveragedOvernightIndexedCouponPricer(
            Real meanReversion = 0.03,
            Real volatility = 0.00, // NO convexity adjustment by default
            bool byApprox = false) // TRUE to use Katsumi Takada approximation
        : byApprox_(byApprox), mrs_(meanReversion), vol_(volatility) {}
 
        explicit ArithmeticAveragedOvernightIndexedCouponPricer(
            bool byApprox)  // Simplified constructor assuming no convexity correction
        : ArithmeticAveragedOvernightIndexedCouponPricer(0.03, 0.0, byApprox) {}
 
        void initialize(const FloatingRateCoupon& coupon) override;
        Rate swapletRate() const override;
        Real swapletPrice() const override { QL_FAIL("swapletPrice not available"); }
        Real capletPrice(Rate) const override { QL_FAIL("capletPrice not available"); }
        Rate capletRate(Rate) const override { QL_FAIL("capletRate not available"); }
        Real floorletPrice(Rate) const override { QL_FAIL("floorletPrice not available"); }
        Rate floorletRate(Rate) const override { QL_FAIL("floorletRate not available"); }
 
      protected:
        Real convAdj1(Time ts, Time te) const;
        Real convAdj2(Time ts, Time te) const;
        const OvernightIndexedCoupon* coupon_;
        bool byApprox_;
        Real mrs_;
        Real vol_;
 
    };
 
}
 
#endif