public override void calculate()
{
Utils.QL_REQUIRE(arguments_.settlementType == Settlement.Type.Physical, () =>
"cash-settled swaptions not priced by Jamshidian engine");
Utils.QL_REQUIRE(arguments_.exercise.type() == Exercise.Type.European, () =>
"cannot use the Jamshidian decomposition on exotic swaptions");
Utils.QL_REQUIRE(arguments_.swap.spread.IsEqual(0.0), () =>
"non zero spread (" + arguments_.swap.spread + ") not allowed");
Date referenceDate;
DayCounter dayCounter;
ITermStructureConsistentModel tsmodel = (ITermStructureConsistentModel)base.model_.link;
try
{
if (tsmodel != null)
{
referenceDate = tsmodel.termStructure().link.referenceDate();
dayCounter = tsmodel.termStructure().link.dayCounter();
}
else
{
referenceDate = termStructure_.link.referenceDate();
dayCounter = termStructure_.link.dayCounter();
}
}
catch
{
referenceDate = termStructure_.link.referenceDate();
dayCounter = termStructure_.link.dayCounter();
}
List <double> amounts = new InitializedList <double>(arguments_.fixedCoupons.Count);
for (int i = 0; i < amounts.Count; i++)
{
amounts[i] = arguments_.fixedCoupons[i];
}
amounts[amounts.Count - 1] = amounts.Last() + arguments_.nominal;
double maturity = dayCounter.yearFraction(referenceDate,
arguments_.exercise.date(0));
List <double> fixedPayTimes = new InitializedList <double>(arguments_.fixedPayDates.Count);
for (int i = 0; i < fixedPayTimes.Count; i++)
{
fixedPayTimes[i] =
dayCounter.yearFraction(referenceDate,
arguments_.fixedPayDates[i]);
}
rStarFinder finder = new rStarFinder(model_, arguments_.nominal, maturity,
fixedPayTimes, amounts);
Brent s1d = new Brent();
double minStrike = -10.0;
double maxStrike = 10.0;
s1d.setMaxEvaluations(10000);
s1d.setLowerBound(minStrike);
s1d.setUpperBound(maxStrike);
double rStar = s1d.solve(finder, 1e-8, 0.05, minStrike, maxStrike);
Option.Type w = arguments_.type == VanillaSwap.Type.Payer ?
Option.Type.Put : Option.Type.Call;
int size = arguments_.fixedCoupons.Count;
double value = 0.0;
for (int i = 0; i < size; i++)
{
double fixedPayTime =
dayCounter.yearFraction(referenceDate,
arguments_.fixedPayDates[i]);
double strike = model_.link.discountBond(maturity,
fixedPayTime,
rStar);
double dboValue = model_.link.discountBondOption(
w, strike, maturity,
fixedPayTime);
value += amounts[i] * dboValue;
}
results_.value = value;
}