LinearTsrPricer Class Reference

CMS-coupon pricer. More...

#include <lineartsrpricer.hpp>

Inheritance diagram for LinearTsrPricer:

Collaboration diagram for LinearTsrPricer:

Classes
class	PriceHelper
struct	Settings
class	VegaRatioHelper

Public Member Functions
	LinearTsrPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, Handle< Quote > meanReversion, Handle< YieldTermStructure > couponDiscountCurve=Handle< YieldTermStructure >(), const Settings &settings=Settings(), ext::shared_ptr< Integrator > integrator=ext::shared_ptr< Integrator >())
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
Real	meanReversion () const override
void	setMeanReversion (const Handle< Quote > &meanReversion) override
Public Member Functions inherited from CmsCouponPricer
	CmsCouponPricer (Handle< SwaptionVolatilityStructure > v=Handle< SwaptionVolatilityStructure >())
Handle< SwaptionVolatilityStructure >	swaptionVolatility () const
void	setSwaptionVolatility (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >())
Public Member Functions inherited from FloatingRateCouponPricer
	~FloatingRateCouponPricer () override=default
void	update () override
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from MeanRevertingPricer
virtual Real	meanReversion () const =0
virtual void	setMeanReversion (const Handle< Quote > &)=0
virtual	~MeanRevertingPricer ()=default

Private Member Functions
Real	GsrG (const Date &d) const
Real	singularTerms (Option::Type type, Real strike) const
Real	integrand (Real strike) const
void	initialize (const FloatingRateCoupon &coupon) override
Real	optionletPrice (Option::Type optionType, Real strike) const
Real	strikeFromVegaRatio (Real ratio, Option::Type optionType, Real referenceStrike) const
Real	strikeFromPrice (Real price, Option::Type optionType, Real referenceStrike) const

Private Attributes
Real	a_
Real	b_
Handle< Quote >	meanReversion_
Handle< YieldTermStructure >	forwardCurve_
Handle< YieldTermStructure >	discountCurve_
Handle< YieldTermStructure >	couponDiscountCurve_
const CmsCoupon *	coupon_
Date	today_
Date	paymentDate_
Date	fixingDate_
Real	gearing_
Real	spread_
Period	swapTenor_
Real	spreadLegValue_
Real	swapRateValue_
Real	couponDiscountRatio_
Real	discountCurvePaymentDiscount_
Real	annuity_
ext::shared_ptr< SwapIndex >	swapIndex_
ext::shared_ptr< FixedVsFloatingSwap >	swap_
ext::shared_ptr< SmileSection >	smileSection_
Settings	settings_
DayCounter	volDayCounter_
ext::shared_ptr< Integrator >	integrator_
Real	adjustedLowerBound_
Real	adjustedUpperBound_

Static Private Attributes
static const Real	defaultLowerBound = 0.0001
static const Real	defaultUpperBound = 2.0000

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

CMS-coupon pricer.

Prices a cms coupon using a linear terminal swap rate model The slope parameter is linked to a gaussian short rate model. Reference: Andersen, Piterbarg, Interest Rate Modeling, 16.3.2

The cut off point for integration can be set

• by explicitly specifying the lower and upper bound
• by defining the lower and upper bound to be the strike where a vanilla swaption has 1% or less vega of the atm swaption
• by defining the lower and upper bound to be the strike where undeflated (!) payer resp. receiver prices are below a given threshold
• by specificying a number of standard deviations to cover using a Black Scholes process with an atm volatility as a benchmark In every case the lower and upper bound are applied though. In case the smile section is shifted lognormal, the specified lower and upper bound are applied to strike + shift so that e.g. a zero lower bound always refers to the lower bound of the rates in the shifted lognormal model. Note that for normal volatility input the lower rate bound is adjusted to min(-upperBound, lowerBound), except the bounds are set explicitly.

Definition at line 64 of file lineartsrpricer.hpp.

Constructor & Destructor Documentation

LinearTsrPricer()

LinearTsrPricer	(	const Handle< SwaptionVolatilityStructure > &	swaptionVol,
		Handle< Quote >	meanReversion,
		Handle< YieldTermStructure >	couponDiscountCurve = Handle<YieldTermStructure>(),
		const Settings &	settings = Settings(),
		ext::shared_ptr< Integrator >	integrator = ext::shared_ptr<Integrator>()
	)

Definition at line 54 of file lineartsrpricer.cpp.

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Member Function Documentation

swapletPrice()

Real swapletPrice ( ) const

overridevirtual

Implements FloatingRateCouponPricer.

Definition at line 420 of file lineartsrpricer.cpp.

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swapletRate()

Rate swapletRate ( ) const

overridevirtual

Implements FloatingRateCouponPricer.

Definition at line 375 of file lineartsrpricer.cpp.

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capletPrice()

Real capletPrice ( Rate  effectiveCap ) const

overridevirtual

Implements FloatingRateCouponPricer.

Definition at line 380 of file lineartsrpricer.cpp.

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capletRate()

Rate capletRate ( Rate  effectiveCap ) const

overridevirtual

Implements FloatingRateCouponPricer.

Definition at line 395 of file lineartsrpricer.cpp.

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floorletPrice()

Real floorletPrice ( Rate  effectiveFloor ) const

overridevirtual

Implements FloatingRateCouponPricer.

Definition at line 400 of file lineartsrpricer.cpp.

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floorletRate()

Rate floorletRate ( Rate  effectiveFloor ) const

overridevirtual

Implements FloatingRateCouponPricer.

Definition at line 415 of file lineartsrpricer.cpp.

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meanReversion()

Real meanReversion ( ) const

overridevirtual

Implements MeanRevertingPricer.

Definition at line 373 of file lineartsrpricer.cpp.

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setMeanReversion()

void setMeanReversion ( const Handle< Quote > &  meanReversion )

overridevirtual

Implements MeanRevertingPricer.

Definition at line 177 of file lineartsrpricer.hpp.

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GsrG()

Real GsrG ( const Date &  d ) const

private

Definition at line 71 of file lineartsrpricer.cpp.

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singularTerms()

Real singularTerms ( Option::Type  type, Real  strike  ) const

private

Definition at line 81 of file lineartsrpricer.cpp.

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integrand()

Real integrand ( Real  strike ) const

private

Definition at line 94 of file lineartsrpricer.cpp.

initialize()

void initialize ( const FloatingRateCoupon &  coupon )

overrideprivatevirtual

Implements FloatingRateCouponPricer.

Definition at line 100 of file lineartsrpricer.cpp.

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optionletPrice()

Real optionletPrice ( Option::Type  optionType, Real  strike  ) const

private

Definition at line 272 of file lineartsrpricer.cpp.

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strikeFromVegaRatio()

Real strikeFromVegaRatio ( Real  ratio, Option::Type  optionType, Real  referenceStrike  ) const

private

Definition at line 208 of file lineartsrpricer.cpp.

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strikeFromPrice()

Real strikeFromPrice ( Real  price, Option::Type  optionType, Real  referenceStrike  ) const

private

Definition at line 241 of file lineartsrpricer.cpp.

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Member Data Documentation

defaultLowerBound

const Real defaultLowerBound = 0.0001

staticprivate

Definition at line 67 of file lineartsrpricer.hpp.

defaultUpperBound

const Real defaultUpperBound = 2.0000

staticprivate

Definition at line 68 of file lineartsrpricer.hpp.

a_

Real a_

private

Definition at line 190 of file lineartsrpricer.hpp.

b_

Real b_

private

Definition at line 190 of file lineartsrpricer.hpp.

meanReversion_

Handle<Quote> meanReversion_

private

Definition at line 225 of file lineartsrpricer.hpp.

forwardCurve_

Handle<YieldTermStructure> forwardCurve_

private

Definition at line 227 of file lineartsrpricer.hpp.

discountCurve_

Handle<YieldTermStructure> discountCurve_

private

Definition at line 227 of file lineartsrpricer.hpp.

couponDiscountCurve_

Handle<YieldTermStructure> couponDiscountCurve_

private

Definition at line 228 of file lineartsrpricer.hpp.

coupon_

const CmsCoupon* coupon_

private

Definition at line 230 of file lineartsrpricer.hpp.

today_

Date today_

private

Definition at line 232 of file lineartsrpricer.hpp.

paymentDate_

Date paymentDate_

private

Definition at line 232 of file lineartsrpricer.hpp.

fixingDate_

Date fixingDate_

private

Definition at line 232 of file lineartsrpricer.hpp.

gearing_

Real gearing_

private

Definition at line 234 of file lineartsrpricer.hpp.

spread_

Real spread_

private

Definition at line 234 of file lineartsrpricer.hpp.

swapTenor_

Period swapTenor_

private

Definition at line 236 of file lineartsrpricer.hpp.

spreadLegValue_

Real spreadLegValue_

private

Definition at line 237 of file lineartsrpricer.hpp.

swapRateValue_

Real swapRateValue_

private

Definition at line 237 of file lineartsrpricer.hpp.

couponDiscountRatio_

Real couponDiscountRatio_

private

Definition at line 237 of file lineartsrpricer.hpp.

discountCurvePaymentDiscount_

Real discountCurvePaymentDiscount_

private

Definition at line 237 of file lineartsrpricer.hpp.

annuity_

Real annuity_

private

Definition at line 238 of file lineartsrpricer.hpp.

swapIndex_

ext::shared_ptr<SwapIndex> swapIndex_

private

Definition at line 240 of file lineartsrpricer.hpp.

swap_

ext::shared_ptr<FixedVsFloatingSwap> swap_

private

Definition at line 241 of file lineartsrpricer.hpp.

smileSection_

ext::shared_ptr<SmileSection> smileSection_

private

Definition at line 242 of file lineartsrpricer.hpp.

settings_

Settings settings_

private

Definition at line 244 of file lineartsrpricer.hpp.

volDayCounter_

DayCounter volDayCounter_

private

Definition at line 245 of file lineartsrpricer.hpp.

integrator_

ext::shared_ptr<Integrator> integrator_

private

Definition at line 246 of file lineartsrpricer.hpp.

adjustedLowerBound_

Real adjustedLowerBound_

private

Definition at line 248 of file lineartsrpricer.hpp.

adjustedUpperBound_

Real adjustedUpperBound_

private

Definition at line 248 of file lineartsrpricer.hpp.