gaussian1dfloatfloatswaptionengine.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2013, 2015 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 liense.  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_pricers_gaussian1d_floatfloatswaption_hpp
#define quantlib_pricers_gaussian1d_floatfloatswaption_hpp
 
#include <ql/instruments/floatfloatswaption.hpp>
#include <ql/models/shortrate/onefactormodels/gaussian1dmodel.hpp>
#include <ql/rebatedexercise.hpp>
 
#include <ql/pricingengines/genericmodelengine.hpp>
 
namespace QuantLib {
 
 
    class Gaussian1dFloatFloatSwaptionEngine
        : public BasketGeneratingEngine,
          public GenericModelEngine<Gaussian1dModel,
                                    FloatFloatSwaption::arguments,
                                    FloatFloatSwaption::results> {
      public:
        enum Probabilities {
            None,
            Naive,
            Digital
        };
 
        Gaussian1dFloatFloatSwaptionEngine(
            const ext::shared_ptr<Gaussian1dModel> &model,
            const int integrationPoints = 64, const Real stddevs = 7.0,
            const bool extrapolatePayoff = true,
            const bool flatPayoffExtrapolation = false,
            const Handle<Quote> &oas =
                Handle<Quote>(), // continously compounded w.r.t. yts daycounter
            const Handle<YieldTermStructure> &discountCurve =
                Handle<YieldTermStructure>(),
            const bool includeTodaysExercise = false,
            const Probabilities probabilities = None)
            : BasketGeneratingEngine(model, oas, discountCurve),
              GenericModelEngine<Gaussian1dModel, FloatFloatSwaption::arguments,
                                 FloatFloatSwaption::results>(model),
              integrationPoints_(integrationPoints), stddevs_(stddevs),
              extrapolatePayoff_(extrapolatePayoff),
              flatPayoffExtrapolation_(flatPayoffExtrapolation),
              oas_(oas), discountCurve_(discountCurve),
              includeTodaysExercise_(includeTodaysExercise),
              probabilities_(probabilities) {
 
            if (!discountCurve_.empty())
                registerWith(discountCurve_);
 
            if (!oas_.empty())
                registerWith(oas_);
        }
 
        Gaussian1dFloatFloatSwaptionEngine(
            const Handle<Gaussian1dModel> &model,
            const int integrationPoints = 64, const Real stddevs = 7.0,
            const bool extrapolatePayoff = true,
            const bool flatPayoffExtrapolation = false,
            const Handle<Quote> &oas =
                Handle<Quote>(), // continously compounded w.r.t. yts daycounter
            const Handle<YieldTermStructure> &discountCurve =
                Handle<YieldTermStructure>(),
            const bool includeTodaysExercise = false,
            const Probabilities probabilities = None)
            : BasketGeneratingEngine(model, oas, discountCurve),
              GenericModelEngine<Gaussian1dModel, FloatFloatSwaption::arguments,
                                 FloatFloatSwaption::results>(model),
              integrationPoints_(integrationPoints), stddevs_(stddevs),
              extrapolatePayoff_(extrapolatePayoff),
              flatPayoffExtrapolation_(flatPayoffExtrapolation),
              oas_(oas), discountCurve_(discountCurve),
              includeTodaysExercise_(includeTodaysExercise),
              probabilities_(probabilities) {
 
            if (!discountCurve_.empty())
                registerWith(discountCurve_);
 
            if (!oas_.empty())
                registerWith(oas_);
        }
 
        void calculate() const override;
 
        Handle<YieldTermStructure> discountingCurve() const {
            return discountCurve_.empty() ? model_->termStructure()
                                          : discountCurve_;
        }
 
      protected:
        Real underlyingNpv(const Date& expiry, Real y) const override;
        Swap::Type underlyingType() const override;
        const Date underlyingLastDate() const override;
        const Array initialGuess(const Date& expiry) const override;
 
      private:
        const int integrationPoints_;
        const Real stddevs_;
        const bool extrapolatePayoff_, flatPayoffExtrapolation_;
        const Handle<Quote> oas_;
        const Handle<YieldTermStructure> discountCurve_;
        const bool includeTodaysExercise_;
        const Probabilities probabilities_;
 
        std::pair<Real, Real> npvs(const Date& expiry,
                                   Real y,
                                   bool includeExerciseOnxpiry,
                                   bool considerProbabilities = false) const;
 
        mutable ext::shared_ptr<RebatedExercise> rebatedExercise_;
    };
}
 
#endif