swaption.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
 Copyright (C) 2006 Cristina Duminuco
 Copyright (C) 2006 Marco Bianchetti
 Copyright (C) 2007 StatPro Italia srl
 Copyright (C) 2014 Ferdinando Ametrano
 Copyright (C) 2016, 2018 Peter Caspers
 
 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.
*/
 
#ifndef quantlib_instruments_swaption_hpp
#define quantlib_instruments_swaption_hpp
 
#include <ql/option.hpp>
#include <ql/instruments/vanillaswap.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/volatility/volatilitytype.hpp>
 
namespace QuantLib {
 
    struct Settlement {
        enum Type { Physical, Cash };
        enum Method {
            PhysicalOTC,
            PhysicalCleared,
            CollateralizedCashPrice,
            ParYieldCurve
        };
        static void checkTypeAndMethodConsistency(Settlement::Type,
                                                  Settlement::Method);
    };
 
    std::ostream& operator<<(std::ostream& out,
                             Settlement::Type type);
 
    std::ostream& operator<<(std::ostream& out,
                             Settlement::Method method);
 
 
    class Swaption : public Option {
      public:
        class arguments;
        class engine;
        Swaption(ext::shared_ptr<VanillaSwap> swap,
                 const ext::shared_ptr<Exercise>& exercise,
                 Settlement::Type delivery = Settlement::Physical,
                 Settlement::Method settlementMethod = Settlement::PhysicalOTC);
 
        void deepUpdate() override;
 
        bool isExpired() const override;
        void setupArguments(PricingEngine::arguments*) const override;
 
        Settlement::Type settlementType() const { return settlementType_; }
        Settlement::Method settlementMethod() const {
            return settlementMethod_;
        }
        Swap::Type type() const { return swap_->type(); }
        const ext::shared_ptr<VanillaSwap>& underlyingSwap() const {
            return swap_;
        }
 
        Volatility impliedVolatility(
                              Real price,
                              const Handle<YieldTermStructure>& discountCurve,
                              Volatility guess,
                              Real accuracy = 1.0e-4,
                              Natural maxEvaluations = 100,
                              Volatility minVol = 1.0e-7,
                              Volatility maxVol = 4.0,
                              VolatilityType type = ShiftedLognormal,
                              Real displacement = 0.0) const;
      private:
        // arguments
        ext::shared_ptr<VanillaSwap> swap_;
        //Handle<YieldTermStructure> termStructure_;
        Settlement::Type settlementType_;
        Settlement::Method settlementMethod_;
    };
 
    class Swaption::arguments : public VanillaSwap::arguments,
                                public Option::arguments {
      public:
        arguments() = default;
        ext::shared_ptr<VanillaSwap> swap;
        Settlement::Type settlementType = Settlement::Physical;
        Settlement::Method settlementMethod;
        void validate() const override;
    };
 
    class Swaption::engine
        : public GenericEngine<Swaption::arguments, Swaption::results> {};
 
}
 
#endif