Skip to content

Feature/gaussian1d float float swaption coverage #2845

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Open
losterbr wants to merge 7 commits into
base: master
Choose a base branch
from
Open

Feature/gaussian1d float float swaption coverage #2845

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
7 commits
Select commit Hold shift + click to select a range
dccb634
Test Gaussian float-float swaption coverage
losterbr Sep 30, 2026
3e76739
Guard float-float calibration guess boundaries
losterbr Sep 30, 2026
90e7880
Test Gaussian float-float rollback value
losterbr Sep 30, 2026
e628607
Optimize Gaussian float-float rollback
losterbr Sep 30, 2026
854e94b
Strengthen float-float swaption regression tests
losterbr Sep 30, 2026
6a46c8d
Optimize float-float probability rollback
losterbr Sep 30, 2026
3218632
Reuse rollback OAS discount factor
losterbr Sep 30, 2026
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
98 changes: 53 additions & 45 deletions ql/pricingengines/swaption/gaussian1dfloatfloatswaptionengine.cpp
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -75,6 +75,9 @@ namespace QuantLib {
std::upper_bound(arguments_.leg1ResetDates.begin(),
arguments_.leg1ResetDates.end(), expiry - 1) -
arguments_.leg1ResetDates.begin();
const Size remainingResetCount = arguments_.leg1ResetDates.size() - idx1;
QL_REQUIRE(remainingResetCount > 0,
"no leg 1 reset dates remain at calibration expiry " << expiry);

// very simple initial guess
// check guess for nominal and weighted maturity !
Expand All @@ -83,8 +86,10 @@ namespace QuantLib {
for (Size i = idx1; i < arguments_.leg1ResetDates.size(); i++) {
nominalSum1 += arguments_.nominal1[i];
}
Real nominalAvg1 = nominalSum1 /
(arguments_.leg1ResetDates.size() - idx1);
QL_REQUIRE(nominalSum1 != 0.0,
"remaining leg 1 notionals sum to zero at calibration expiry "
<< expiry);
Real nominalAvg1 = nominalSum1 / remainingResetCount;
Real weightedMaturity1 = 0.0;
for (Size i = idx1; i < arguments_.leg1ResetDates.size(); i++) {
weightedMaturity1 +=
Expand Down Expand Up @@ -134,7 +139,6 @@ namespace QuantLib {

int idx = events.size() - 1;

FloatFloatSwap swap = *arguments_.swap;
Option::Type type =
arguments_.type == Swap::Payer ? Option::Call : Option::Put;

Expand Down Expand Up @@ -166,7 +170,7 @@ namespace QuantLib {
}
// end probability computation

Date event1 = Date(), event0;
Date event0;
Time event1Time = Null<Real>(), event0Time;

ext::shared_ptr<IborIndex> ibor1 =
Expand Down Expand Up @@ -220,29 +224,44 @@ namespace QuantLib {

// todo add openmp support later on (as in gaussian1dswaptionengine)

CubicInterpolation payoff0(
z.begin(), z.end(), npv1.begin(),
CubicInterpolation::Spline, true,
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);
CubicInterpolation payoff0a(
z.begin(), z.end(), npv1a.begin(),
CubicInterpolation::Spline, true,
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);

std::vector<CubicInterpolation> probabilityPayoffs;
if (considerProbabilities && probabilities_ != None &&
event1Time != Null<Real>()) {
probabilityPayoffs.reserve(npvp1.size());
for (Size m = 0; m < npvp1.size(); ++m) {
probabilityPayoffs.emplace_back(
z.begin(), z.end(), npvp1[m].begin(),
CubicInterpolation::Spline, true,
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);
}
}

const Real rollbackZSpreadDf =
event1Time == Null<Real>() || oas_.empty()
? Real(1.0)
: std::exp(-oas_->value() * (event1Time - event0Time));

for (Size k = 0; k < (event0 > expiry ? npv0.size() : 1); k++) {

// roll back

Real price = 0.0, pricea = 0.0;
if (event1Time != Null<Real>()) {
Real zSpreadDf = oas_.empty()
? Real(1.0)
: std::exp(-oas_->value() *
(event1Time - event0Time));
Array yg =
model_->yGrid(stddevs_, integrationPoints_, event1Time,
event0Time, event0 > expiry ? z[k] : y);
CubicInterpolation payoff0(
z.begin(), z.end(), npv1.begin(),
CubicInterpolation::Spline, true,
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);
CubicInterpolation payoff0a(
z.begin(), z.end(), npv1a.begin(),
CubicInterpolation::Spline, true,
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);
for (Size i = 0; i < yg.size(); i++) {
p[i] = payoff0(yg[i], true);
pa[i] = payoff0a(yg[i], true);
Expand All @@ -263,34 +282,34 @@ namespace QuantLib {
payoff1.bCoefficients()[i],
payoff1.aCoefficients()[i], p[i], z[i],
z[i], z[i + 1]) *
zSpreadDf;
rollbackZSpreadDf;
pricea += Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, payoff1a.cCoefficients()[i],
payoff1a.bCoefficients()[i],
payoff1a.aCoefficients()[i], pa[i], z[i],
z[i], z[i + 1]) *
zSpreadDf;
rollbackZSpreadDf;
}
if (extrapolatePayoff_) {
if (flatPayoffExtrapolation_) {
price +=
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[z.size() - 2],
z[z.size() - 2], z[z.size() - 1], 100.0) *
zSpreadDf;
rollbackZSpreadDf;
price += Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[0], z[0], -100.0,
z[0]) *
zSpreadDf;
rollbackZSpreadDf;
pricea +=
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, pa[z.size() - 2],
z[z.size() - 2], z[z.size() - 1], 100.0) *
zSpreadDf;
rollbackZSpreadDf;
pricea += Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, pa[0], z[0],
-100.0, z[0]) *
zSpreadDf;
rollbackZSpreadDf;
} else {
if (type == Option::Call)
price +=
Expand All @@ -301,15 +320,15 @@ namespace QuantLib {
payoff1.aCoefficients()[z.size() - 2],
p[z.size() - 2], z[z.size() - 2],
z[z.size() - 1], 100.0) *
zSpreadDf;
rollbackZSpreadDf;
if (type == Option::Put)
price +=
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, payoff1.cCoefficients()[0],
payoff1.bCoefficients()[0],
payoff1.aCoefficients()[0], p[0], z[0],
-100.0, z[0]) *
zSpreadDf;
rollbackZSpreadDf;
if (type == Option::Call)
pricea +=
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
Expand All @@ -319,15 +338,15 @@ namespace QuantLib {
payoff1a.aCoefficients()[z.size() - 2],
pa[z.size() - 2], z[z.size() - 2],
z[z.size() - 1], 100.0) *
zSpreadDf;
rollbackZSpreadDf;
if (type == Option::Put)
pricea +=
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, payoff1a.cCoefficients()[0],
payoff1a.bCoefficients()[0],
payoff1a.aCoefficients()[0], pa[0],
z[0], -100.0, z[0]) *
zSpreadDf;
rollbackZSpreadDf;
}
}
}
Expand All @@ -340,21 +359,11 @@ namespace QuantLib {
for (Size m = 0; m < npvp0.size(); m++) {
Real price = 0.0;
if (event1Time != Null<Real>()) {
Real zSpreadDf =
oas_.empty()
? Real(1.0)
: std::exp(-oas_->value() *
(event1Time - event0Time));
Array yg = model_->yGrid(
stddevs_, integrationPoints_, event1Time,
event0Time, event0 > expiry ? z[k] : 0.0);
CubicInterpolation payoff0(
z.begin(), z.end(), npvp1[m].begin(),
CubicInterpolation::Spline, true,
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);
for (Size i = 0; i < yg.size(); i++) {
p[i] = payoff0(yg[i], true);
p[i] = probabilityPayoffs[m](yg[i], true);
}
CubicInterpolation payoff1(
z.begin(), z.end(), p.begin(),
Expand All @@ -368,7 +377,7 @@ namespace QuantLib {
payoff1.bCoefficients()[i],
payoff1.aCoefficients()[i], p[i], z[i],
z[i], z[i + 1]) *
zSpreadDf;
rollbackZSpreadDf;
}
if (extrapolatePayoff_) {
if (flatPayoffExtrapolation_) {
Expand All @@ -378,12 +387,12 @@ namespace QuantLib {
p[z.size() - 2],
z[z.size() - 2],
z[z.size() - 1], 100.0) *
zSpreadDf;
rollbackZSpreadDf;
price +=
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[0],
z[0], -100.0, z[0]) *
zSpreadDf;
rollbackZSpreadDf;
} else {
if (type == Option::Call)
price +=
Expand All @@ -398,7 +407,7 @@ namespace QuantLib {
p[z.size() - 2],
z[z.size() - 2],
z[z.size() - 1], 100.0) *
zSpreadDf;
rollbackZSpreadDf;
if (type == Option::Put)
price +=
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
Expand All @@ -411,7 +420,7 @@ namespace QuantLib {
.aCoefficients()[0],
p[0], z[0], -100.0,
z[0]) *
zSpreadDf;
rollbackZSpreadDf;
}
}
}
Expand Down Expand Up @@ -664,7 +673,6 @@ namespace QuantLib {
}
// end probability computation

event1 = event0;
event1Time = event0Time;

} while (--idx >= -1);
Expand Down
Loading
Loading