Class BachelierCapFloorEngine

Namespace

NanoQL.PricingEngines

Assembly

NanoQL.dll

The Bachelier-Black-formula cap/floor engine: normal volatilities.

public static class BachelierCapFloorEngine

Inheritance

object

BachelierCapFloorEngine

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

A static class: Calculate runs QuantLib's four steps (playbook §2.1) and returns the instrument's results, with BlackCapFloorEngine's additional results under the same keys, from the Bachelier formulas, which take no displacement and accept negative strikes and forwards. A collar's results hold no optionletsStdDev, as QuantLib's don't, and a caplet the engine prices whose coupon is paid before the evaluation date has no forward, refused where QuantLib prices on its Null<Rate>() sentinel, a documented divergence.

QuantLib's constructors on a volatility value and on a quote coincide once a quote is a double: the overload on a double builds, at each call, the constant volatility QuantLib's builds, on no calendar, with its reference date the context's evaluation date and QuantLib's default type, shifted lognormal, which the engine reads as a normal volatility. Its day counter defaults to QuantLib's, Actual365Fixed, for null.

Methods

Calculate(CapFloor, EvaluationContext, YieldTermStructure, OptionletVolatilityStructure)

Prices a cap, floor or collar on an optionlet volatility structure.

public static InstrumentResults Calculate(CapFloor capFloor, EvaluationContext context, YieldTermStructure discountCurve, OptionletVolatilityStructure vol)

Parameters

capFloor CapFloor

The instrument.

context EvaluationContext

The evaluation context.

discountCurve YieldTermStructure

The discount curve.

vol OptionletVolatilityStructure

The volatility structure, normal.

Returns

InstrumentResults

The results: the expired results when the instrument has expired.

Exceptions

ArgumentNullException

An argument is null.

ArgumentException

The structure's volatilities aren't normal, or a Bachelier formula refuses its inputs.

NanoQLException

A cash flow isn't a floating-rate coupon, a forward can't be computed, a priced caplet has no forward, or the structure refuses a fixing date or a strike.

Calculate(CapFloor, EvaluationContext, YieldTermStructure, double, DayCounter?)

Prices a cap, floor or collar on a constant normal volatility.

public static InstrumentResults Calculate(CapFloor capFloor, EvaluationContext context, YieldTermStructure discountCurve, double vol, DayCounter? dc = null)

Parameters

capFloor CapFloor

The instrument.

context EvaluationContext

The evaluation context.

discountCurve YieldTermStructure

The discount curve.

vol double

The normal volatility.

dc DayCounter

The volatility's day counter; Actual365Fixed, QuantLib's default, when null.

Returns

InstrumentResults

The results: the expired results when the instrument has expired.

Exceptions

ArgumentNullException

The instrument, the context or the discount curve is null.

ArgumentException

A Bachelier formula refuses its inputs.

NanoQLException

A cash flow isn't a floating-rate coupon, a forward can't be computed, or a priced caplet has no forward.