| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2008 Toyin Akin |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | #include <ql/experimental/coupons/quantocouponpricer.hpp> |
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| 21 | #include <ql/cashflows/capflooredcoupon.hpp> |
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| 22 | #include <ql/cashflows/digitalcoupon.hpp> |
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| 23 | #include <ql/cashflows/digitalcmscoupon.hpp> |
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| 24 | #include <ql/cashflows/digitaliborcoupon.hpp> |
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| 25 | #include <ql/cashflows/rangeaccrual.hpp> |
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| 26 | #include <ql/pricingengines/blackformula.hpp> |
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| 27 | #include <ql/indexes/interestrateindex.hpp> |
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| 28 | |
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| 29 | namespace QuantLib { |
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| 30 | |
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| 31 | Rate BlackIborQuantoCouponPricer::adjustedFixing(Real fixing) const { |
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| 32 | |
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| 33 | if (fixing == Null<Rate>()) |
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| 34 | fixing = coupon_->indexFixing(); |
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| 35 | |
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| 36 | // Here we apply the quanto adjustment first, then delegate to |
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| 37 | // the parent class |
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| 38 | Date d1 = coupon_->fixingDate(), |
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| 39 | referenceDate = capletVolatility()->referenceDate(); |
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| 40 | |
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| 41 | if (d1 > referenceDate) { |
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| 42 | Time t1 = |
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| 43 | capletVolatility()->timeFromReference(d: d1); |
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| 44 | Volatility fxsigma = |
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| 45 | fxRateBlackVolatility_->blackVol(d: d1, strike: fixing, extrapolate: true); |
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| 46 | Volatility sigma = capletVolatility()->volatility(optionDate: d1, strike: fixing); |
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| 47 | Real rho = underlyingFxCorrelation_->value(); |
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| 48 | |
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| 49 | // Apply Quanto Adjustment. |
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| 50 | // Hull 6th Edition, page 642, generalised to |
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| 51 | // shifted lognormal and normal volatilities |
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| 52 | if(capletVolatility()->volatilityType() == ShiftedLognormal) { |
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| 53 | Real dQuantoAdj = std::exp(x: sigma*fxsigma*rho*t1); |
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| 54 | Real shift = capletVolatility()->displacement(); |
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| 55 | fixing = (fixing+shift)*dQuantoAdj-shift; |
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| 56 | } |
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| 57 | else { |
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| 58 | Real dQuantoAdj = sigma*fxsigma*rho*t1; |
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| 59 | fixing += dQuantoAdj; |
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| 60 | } |
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| 61 | } |
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| 62 | |
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| 63 | return BlackIborCouponPricer::adjustedFixing(fixing); |
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| 64 | } |
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| 65 | |
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| 66 | } |
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| 67 | |
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| 68 | |
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