public DiscretizedCallableFixedRateBond(CallableBond.Arguments args,
Date referenceDate,
DayCounter dayCounter)
{
arguments_ = args;
redemptionTime_ = dayCounter.yearFraction(referenceDate, args.redemptionDate);
for (int i = 0; i < args.couponDates.Count; ++i)
{
couponTimes_.Add(dayCounter.yearFraction(referenceDate, args.couponDates[i]));
}
for (int i = 0; i < args.callabilityDates.Count; ++i)
{
callabilityTimes_.Add(dayCounter.yearFraction(referenceDate, args.callabilityDates[i]));
}
// similar to the tree swaption engine, we collapse similar coupon
// and exercise dates to avoid mispricing. Delete if unnecessary.
for (int i = 0; i < callabilityTimes_.Count; i++)
{
double exerciseTime = callabilityTimes_[i];
for (int j = 0; j < couponTimes_.Count; j++)
{
if (withinNextWeek(exerciseTime, couponTimes_[j]))
{
couponTimes_[j] = exerciseTime;
}
}
}
}
public override void setupArguments(IPricingEngineArguments args)
{
base.setupArguments(args);
CallableBond.Arguments arguments = args as CallableBond.Arguments;
Utils.QL_REQUIRE(arguments != null, () => "no arguments given");
Date settlement = arguments.settlementDate;
arguments.redemption = redemption().amount();
arguments.redemptionDate = redemption().date();
List <CashFlow> cfs = cashflows();
arguments.couponDates = new List <Date>(cfs.Count - 1);
arguments.couponAmounts = new List <double>(cfs.Count - 1);
for (int i = 0; i < cfs.Count; i++)
{
if (!cfs[i].hasOccurred(settlement, false))
{
if (cfs[i] is QLCore.FixedRateCoupon)
{
arguments.couponDates.Add(cfs[i].date());
arguments.couponAmounts.Add(cfs[i].amount());
}
}
}
arguments.callabilityPrices = new List <double>(putCallSchedule_.Count);
arguments.callabilityDates = new List <Date>(putCallSchedule_.Count);
arguments.paymentDayCounter = paymentDayCounter_;
arguments.frequency = frequency_;
arguments.putCallSchedule = putCallSchedule_;
for (int i = 0; i < putCallSchedule_.Count; i++)
{
if (!putCallSchedule_[i].hasOccurred(settlement, false))
{
arguments.callabilityDates.Add(putCallSchedule_[i].date());
arguments.callabilityPrices.Add(putCallSchedule_[i].price().amount());
if (putCallSchedule_[i].price().type() == Callability.Price.Type.Clean)
{
/* calling accrued() forces accrued interest to be zero
* if future option date is also coupon date, so that dirty
* price = clean price. Use here because callability is
* always applied before coupon in the tree engine.
*/
arguments.callabilityPrices[arguments.callabilityPrices.Count - 1] += this.accrued(putCallSchedule_[i].date());
}
}
}
}
public double value(double x)
{
CallableBond.Arguments args = bond_.engine_.getArguments() as CallableBond.Arguments;
// Pops the original value when function finishes
double originalSpread = args.spread;
args.spread = x;
bond_.engine_.calculate();
args.spread = originalSpread;
return(results_.value.Value);
}