public double swaption(Swaption.Arguments arguments,
double fixedRate,
double range,
int intervals)
{
Date settlement = termStructure().link.referenceDate();
DayCounter dayCounter = termStructure().link.dayCounter();
double start = dayCounter.yearFraction(settlement,
arguments.floatingResetDates[0]);
double w = (arguments.type == VanillaSwap.Type.Payer ? 1 : -1);
List <double> fixedPayTimes = new InitializedList <double>(arguments.fixedPayDates.Count);
for (int i = 0; i < fixedPayTimes.Count; ++i)
{
fixedPayTimes[i] =
dayCounter.yearFraction(settlement,
arguments.fixedPayDates[i]);
}
SwaptionPricingFunction function = new SwaptionPricingFunction(a(),
sigma(), b(), eta(), rho(),
w, start,
fixedPayTimes,
fixedRate, this);
double upper = function.mux() + range * function.sigmax();
double lower = function.mux() - range * function.sigmax();
SegmentIntegral integrator = new SegmentIntegral(intervals);
return(arguments.nominal * w * termStructure().link.discount(start) *
integrator.value(function.value, lower, upper));
}
public override void calculate()
{
Utils.QL_REQUIRE(arguments_.exercise.type() == Exercise.Type.European, () => "not an European Option");
StrikedTypePayoff payoff = arguments_.payoff as StrikedTypePayoff;
Utils.QL_REQUIRE(payoff != null, () => "not an European Option");
double variance = process_.blackVolatility().link.blackVariance(arguments_.exercise.lastDate(), payoff.strike());
double dividendDiscount = process_.dividendYield().link.discount(arguments_.exercise.lastDate());
double riskFreeDiscount = process_.riskFreeRate().link.discount(arguments_.exercise.lastDate());
double drift = Math.Log(dividendDiscount / riskFreeDiscount) - 0.5 * variance;
Integrand f = new Integrand(arguments_.payoff, process_.stateVariable().link.value(), drift, variance);
SegmentIntegral integrator = new SegmentIntegral(5000);
double infinity = 10.0 * Math.Sqrt(variance);
results_.value = process_.riskFreeRate().link.discount(arguments_.exercise.lastDate()) /
Math.Sqrt(2.0 * Math.PI * variance) *
integrator.value(f.value, drift - infinity, drift + infinity);
}