capfloor.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
 Copyright (C) 2006, 2014 Ferdinando Ametrano
 Copyright (C) 2006 François du Vignaud
 Copyright (C) 2006, 2007 StatPro Italia srl
 
 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_capfloor_hpp
#define quantlib_instruments_capfloor_hpp
 
#include <ql/instrument.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/handle.hpp>
#include <ql/termstructures/volatility/volatilitytype.hpp>
 
namespace QuantLib {
 
    class YieldTermStructure;
 
 
    class CapFloor : public Instrument {
      public:
        enum Type { Cap, Floor, Collar };
        class arguments;
        class engine;
        CapFloor(Type type,
                 Leg floatingLeg,
                 std::vector<Rate> capRates,
                 std::vector<Rate> floorRates);
        CapFloor(Type type, Leg floatingLeg, const std::vector<Rate>& strikes);
 
        void deepUpdate() override;
 
        bool isExpired() const override;
        void setupArguments(PricingEngine::arguments*) const override;
 
        Type type() const { return type_; }
        const std::vector<Rate>& capRates() const { return capRates_; }
        const std::vector<Rate>& floorRates() const { return floorRates_; }
        const Leg& floatingLeg() const { return floatingLeg_; }
 
        Date startDate() const;
        Date maturityDate() const;
        ext::shared_ptr<FloatingRateCoupon> lastFloatingRateCoupon() const;
        ext::shared_ptr<CapFloor> optionlet(Size n) const;
        Rate atmRate(const YieldTermStructure& discountCurve) const;
        Volatility impliedVolatility(
                                 Real price,
                                 const Handle<YieldTermStructure>& disc,
                                 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:
        Type type_;
        Leg floatingLeg_;
        std::vector<Rate> capRates_;
        std::vector<Rate> floorRates_;
    };
 
 
    class Cap : public CapFloor {
      public:
        Cap(const Leg& floatingLeg,
            const std::vector<Rate>& exerciseRates)
        : CapFloor(CapFloor::Cap, floatingLeg,
                   exerciseRates, std::vector<Rate>()) {}
    };
 
 
    class Floor : public CapFloor {
      public:
        Floor(const Leg& floatingLeg,
              const std::vector<Rate>& exerciseRates)
        : CapFloor(CapFloor::Floor, floatingLeg,
                   std::vector<Rate>(), exerciseRates) {}
    };
 
 
    class Collar : public CapFloor {
      public:
        Collar(const Leg& floatingLeg,
               const std::vector<Rate>& capRates,
               const std::vector<Rate>& floorRates)
        : CapFloor(CapFloor::Collar, floatingLeg, capRates, floorRates) {}
    };
 
 
    class CapFloor::arguments : public virtual PricingEngine::arguments {
      public:
        arguments() : type(CapFloor::Type(-1)) {}
        CapFloor::Type type;
        std::vector<Date> startDates;
        std::vector<Date> fixingDates;
        std::vector<Date> endDates;
        std::vector<Time> accrualTimes;
        std::vector<Rate> capRates;
        std::vector<Rate> floorRates;
        std::vector<Rate> forwards;
        std::vector<Real> gearings;
        std::vector<Real> spreads;
        std::vector<Real> nominals;
        std::vector<ext::shared_ptr<InterestRateIndex> > indexes;
        void validate() const override;
    };
 
    class CapFloor::engine
        : public GenericEngine<CapFloor::arguments, CapFloor::results> {};
 
    std::ostream& operator<<(std::ostream&, CapFloor::Type);
 
}
 
#endif