lognormalcmsspreadpricer.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
  Copyright (C) 2014, 2015, 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_lognormal_cmsspread_pricer_hpp
#define quantlib_lognormal_cmsspread_pricer_hpp
 
#include <ql/cashflows/cmscoupon.hpp>
#include <ql/experimental/coupons/cmsspreadcoupon.hpp>
#include <ql/experimental/coupons/swapspreadindex.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/optional.hpp>
 
namespace QuantLib {
 
    class CmsSpreadCoupon;
    class YieldTermStructure;
 
 
    class LognormalCmsSpreadPricer : public CmsSpreadCouponPricer {
 
      public:
        LognormalCmsSpreadPricer(
            const ext::shared_ptr<CmsCouponPricer>& cmsPricer,
            const Handle<Quote>& correlation,
            Handle<YieldTermStructure> couponDiscountCurve = Handle<YieldTermStructure>(),
            Size IntegrationPoints = 16,
            const ext::optional<VolatilityType>& volatilityType = ext::nullopt,
            Real shift1 = Null<Real>(),
            Real shift2 = Null<Real>());
 
        /* */
        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;
 
      private:
        void initialize(const FloatingRateCoupon& coupon) override;
        Real optionletPrice(Option::Type optionType, Real strike) const;
 
        Real integrand(Real) const;
        Real integrand_normal(Real) const;
 
        class integrand_f;
 
        ext::shared_ptr<CmsCouponPricer> cmsPricer_;
 
        Handle<YieldTermStructure> couponDiscountCurve_;
 
        const CmsSpreadCoupon *coupon_;
 
        Date today_, fixingDate_, paymentDate_;
 
        Real fixingTime_;
 
        Real gearing_, spread_;
        Real spreadLegValue_;
        Real discount_;
 
        ext::shared_ptr<SwapSpreadIndex> index_;
 
        ext::shared_ptr<CumulativeNormalDistribution> cnd_;
        ext::shared_ptr<GaussianQuadrature> integrator_;
 
        Real swapRate1_, swapRate2_, gearing1_, gearing2_;
        Real adjustedRate1_, adjustedRate2_;
        Real vol1_, vol2_;
        Real mu1_, mu2_;
        Real rho_;
 
        bool inheritedVolatilityType_;
        VolatilityType volType_;
        Real shift1_, shift2_;
 
        mutable Real phi_, a_, b_, s1_, s2_, m1_, m2_, v1_, v2_, k_;
        mutable Real alpha_, psi_;
        mutable Option::Type optionType_;
 
        ext::shared_ptr<CmsCoupon> c1_, c2_;
    };
}
 
#endif