| 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) 2009 Roland Lichters |
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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/event.hpp> |
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| 21 | #include <ql/experimental/credit/riskyassetswapoption.hpp> |
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| 22 | #include <ql/math/distributions/normaldistribution.hpp> |
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| 23 | #include <utility> |
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| 24 | |
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| 25 | namespace QuantLib { |
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| 26 | |
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| 27 | RiskyAssetSwapOption::RiskyAssetSwapOption(ext::shared_ptr<RiskyAssetSwap> asw, |
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| 28 | const Date& expiry, |
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| 29 | Rate marketSpread, |
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| 30 | Volatility spreadVolatility) |
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| 31 | : asw_(std::move(asw)), expiry_(expiry), marketSpread_(marketSpread), |
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| 32 | spreadVolatility_(spreadVolatility) {} |
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| 33 | |
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| 34 | bool RiskyAssetSwapOption::isExpired() const { |
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| 35 | return detail::simple_event(expiry_).hasOccurred(); |
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| 36 | } |
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| 37 | |
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| 38 | |
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| 39 | void RiskyAssetSwapOption::performCalculations() const { |
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| 40 | Real w; |
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| 41 | if (asw_->fixedPayer()) // strike receiver = asw call = spread put |
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| 42 | w = -1.0; |
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| 43 | else |
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| 44 | w = 1.0; |
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| 45 | |
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| 46 | Date today = Settings::instance().evaluationDate(); |
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| 47 | Time expiryTime = Actual365Fixed().yearFraction(d1: today, d2: expiry_); |
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| 48 | Real stdDev = spreadVolatility_ * std::sqrt(x: expiryTime); |
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| 49 | Real d = (asw_->spread() - marketSpread_) / stdDev; |
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| 50 | Real A0 = asw_->nominal() * asw_->floatAnnuity(); |
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| 51 | |
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| 52 | NPV_ = A0 * stdDev * (w*d * CumulativeNormalDistribution()(w*d) |
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| 53 | + NormalDistribution()(d)); |
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| 54 | } |
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| 55 | |
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| 56 | } |
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| 57 | |
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