inflationcouponpricer.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2009 Chris Kenyon
 
 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 inflationcouponpricer.hpp
 \brief inflation-coupon pricers
 */
 
#ifndef quantlib_inflation_coupon_pricer_hpp
#define quantlib_inflation_coupon_pricer_hpp
 
#include <ql/cashflow.hpp>
#include <ql/option.hpp>
#include <ql/cashflows/yoyinflationcoupon.hpp>
#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>
 
namespace QuantLib {
 
    //! Base inflation-coupon pricer.
    /*! The main reason we can't use FloatingRateCouponPricer as the
        base is that it takes a FloatingRateCoupon which takes an
        InterestRateIndex and we need an inflation index (these are
        lagged).
 
        The basic inflation-specific thing that the pricer has to do
        is deal with different lags in the index and the option
        e.g. the option could look 3 months back and the index 2.
 
        We add the requirement that pricers do inverseCap/Floor-lets.
        These are cap/floor-lets as usually defined, i.e. pay out if
        underlying is above/below a strike.  The non-inverse (usual)
        versions are from a coupon point of view (a capped coupon has
        a maximum at the strike).
 
        We add the inverse prices so that conventional caps can be
        priced simply.
    */
    class InflationCouponPricer: public virtual Observer,
                                 public virtual Observable {
    public:
      QL_DEPRECATED_DISABLE_WARNING
      InflationCouponPricer() = default;
      ~InflationCouponPricer() override = default;
      QL_DEPRECATED_ENABLE_WARNING
      //! \name Interface
      //@{
      virtual Real swapletPrice() const = 0;
      virtual Rate swapletRate() const = 0;
      virtual Real capletPrice(Rate effectiveCap) const = 0;
      virtual Rate capletRate(Rate effectiveCap) const = 0;
      virtual Real floorletPrice(Rate effectiveFloor) const = 0;
      virtual Rate floorletRate(Rate effectiveFloor) const = 0;
      virtual void initialize(const InflationCoupon&) = 0;
      //@}
 
      //! \name Observer interface
      //@{
      void update() override { notifyObservers(); }
      //@}
    protected:
      Date paymentDate_;
    };
 
 
    void setCouponPricer(const Leg& leg,
                         const ext::shared_ptr<InflationCouponPricer>&);
 
 
    //! base pricer for capped/floored YoY inflation coupons
    /*! \note this pricer can already do swaplets but to get
              volatility-dependent coupons you need the descendents.
    */
    class YoYInflationCouponPricer : public InflationCouponPricer {
      public:
        YoYInflationCouponPricer() = default;
 
        explicit YoYInflationCouponPricer(Handle<YieldTermStructure> nominalTermStructure);
 
        YoYInflationCouponPricer(Handle<YoYOptionletVolatilitySurface> capletVol,
                                 Handle<YieldTermStructure> nominalTermStructure);
 
        virtual Handle<YoYOptionletVolatilitySurface> capletVolatility() const{
            return capletVol_;
        }
 
        virtual Handle<YieldTermStructure> nominalTermStructure() const{
            return nominalTermStructure_;
        }
 
        virtual void setCapletVolatility(
            const Handle<YoYOptionletVolatilitySurface>& capletVol);
 
        //! \name InflationCouponPricer interface
        //@{
        Real swapletPrice() const override;
        Rate swapletRate() const override;
        Real capletPrice(Rate effectiveCap) const override;
        Rate capletRate(Rate effectiveCap) const override;
        Real floorletPrice(Rate effectiveFloor) const override;
        Rate floorletRate(Rate effectiveFloor) const override;
        void initialize(const InflationCoupon&) override;
        //@}
 
      protected:
        virtual Real optionletPrice(Option::Type optionType,
                                    Real effStrike) const;
        virtual Real optionletRate(Option::Type optionType,
                                   Real effStrike) const;
 
        /*! Derived classes usually only need to implement this.
 
            The name of the method is misleading.  This actually
            returns the rate of the optionlet (so not discounted and
            not accrued).
        */
        virtual Real optionletPriceImp(Option::Type, Real strike,
                                       Real forward, Real stdDev) const;
        virtual Rate adjustedFixing(Rate fixing = Null<Rate>()) const;
 
        //! data
        Handle<YoYOptionletVolatilitySurface> capletVol_;
        Handle<YieldTermStructure> nominalTermStructure_;
        const YoYInflationCoupon* coupon_;
        Real gearing_;
        Spread spread_;
        Real discount_;
    };
 
 
    //! Black-formula pricer for capped/floored yoy inflation coupons
    class BlackYoYInflationCouponPricer : public YoYInflationCouponPricer {
      public:
        BlackYoYInflationCouponPricer()
        : YoYInflationCouponPricer(Handle<YoYOptionletVolatilitySurface>(),
                                   Handle<YieldTermStructure>()) {}
 
        explicit BlackYoYInflationCouponPricer(
            const Handle<YieldTermStructure>& nominalTermStructure)
        : YoYInflationCouponPricer(nominalTermStructure) {}
 
        BlackYoYInflationCouponPricer(
            const Handle<YoYOptionletVolatilitySurface>& capletVol,
            const Handle<YieldTermStructure>& nominalTermStructure)
        : YoYInflationCouponPricer(capletVol, nominalTermStructure) {}
      protected:
        Real optionletPriceImp(Option::Type, Real strike, Real forward, Real stdDev) const override;
    };
 
 
    //! Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons
    class UnitDisplacedBlackYoYInflationCouponPricer : public YoYInflationCouponPricer {
      public:
        UnitDisplacedBlackYoYInflationCouponPricer()
        : YoYInflationCouponPricer(Handle<YoYOptionletVolatilitySurface>(),
                                   Handle<YieldTermStructure>()) {}
 
        explicit UnitDisplacedBlackYoYInflationCouponPricer(
            const Handle<YieldTermStructure>& nominalTermStructure)
        : YoYInflationCouponPricer(nominalTermStructure) {}
 
        UnitDisplacedBlackYoYInflationCouponPricer(
            const Handle<YoYOptionletVolatilitySurface>& capletVol,
            const Handle<YieldTermStructure>& nominalTermStructure)
        : YoYInflationCouponPricer(capletVol, nominalTermStructure) {}
      protected:
        Real optionletPriceImp(Option::Type, Real strike, Real forward, Real stdDev) const override;
    };
 
 
    //! Bachelier-formula pricer for capped/floored yoy inflation coupons
    class BachelierYoYInflationCouponPricer : public YoYInflationCouponPricer {
      public:
        BachelierYoYInflationCouponPricer()
        : YoYInflationCouponPricer(Handle<YoYOptionletVolatilitySurface>(),
                                   Handle<YieldTermStructure>()) {}
 
        explicit BachelierYoYInflationCouponPricer(
            const Handle<YieldTermStructure>& nominalTermStructure)
        : YoYInflationCouponPricer(nominalTermStructure) {}
 
        BachelierYoYInflationCouponPricer(
            const Handle<YoYOptionletVolatilitySurface>& capletVol,
            const Handle<YieldTermStructure>& nominalTermStructure)
        : YoYInflationCouponPricer(capletVol, nominalTermStructure) {}
      protected:
        Real optionletPriceImp(Option::Type, Real strike, Real forward, Real stdDev) const override;
    };
 
}
 
 
#endif