public override void setupArguments(IPricingEngineArguments args)
{
base.setupArguments(args);
ConvertibleBond.option.Arguments moreArgs = args as Arguments;
Utils.QL_REQUIRE(moreArgs != null, () => "wrong argument type");
moreArgs.conversionRatio = conversionRatio_;
Date settlement = bond_.settlementDate();
int n = callability_.Count;
if (moreArgs.callabilityDates == null)
{
moreArgs.callabilityDates = new List <Date>();
}
else
{
moreArgs.callabilityDates.Clear();
}
if (moreArgs.callabilityTypes == null)
{
moreArgs.callabilityTypes = new List <Callability.Type>();
}
else
{
moreArgs.callabilityTypes.Clear();
}
if (moreArgs.callabilityPrices == null)
{
moreArgs.callabilityPrices = new List <double>();
}
else
{
moreArgs.callabilityPrices.Clear();
}
if (moreArgs.callabilityTriggers == null)
{
moreArgs.callabilityTriggers = new List <double?>();
}
else
{
moreArgs.callabilityTriggers.Clear();
}
for (int i = 0; i < n; i++)
{
if (!callability_[i].hasOccurred(settlement, false))
{
moreArgs.callabilityTypes.Add(callability_[i].type());
moreArgs.callabilityDates.Add(callability_[i].date());
if (callability_[i].price().type() == Callability.Price.Type.Clean)
{
moreArgs.callabilityPrices.Add(callability_[i].price().amount() +
bond_.accruedAmount(callability_[i].date()));
}
else
{
moreArgs.callabilityPrices.Add(callability_[i].price().amount());
}
SoftCallability softCall = callability_[i] as SoftCallability;
if (softCall != null)
{
moreArgs.callabilityTriggers.Add(softCall.trigger());
}
else
{
moreArgs.callabilityTriggers.Add(null);
}
}
}
List <CashFlow> cashflows = bond_.cashflows();
if (moreArgs.couponDates == null)
{
moreArgs.couponDates = new List <Date>();
}
else
{
moreArgs.couponDates.Clear();
}
if (moreArgs.couponAmounts == null)
{
moreArgs.couponAmounts = new List <double>();
}
else
{
moreArgs.couponAmounts.Clear();
}
for (int i = 0; i < cashflows.Count - 1; i++)
{
if (!cashflows[i].hasOccurred(settlement, false))
{
moreArgs.couponDates.Add(cashflows[i].date());
moreArgs.couponAmounts.Add(cashflows[i].amount());
}
}
if (moreArgs.dividends == null)
{
moreArgs.dividends = new DividendSchedule();
}
else
{
moreArgs.dividends.Clear();
}
if (moreArgs.dividendDates == null)
{
moreArgs.dividendDates = new List <Date>();
}
else
{
moreArgs.dividendDates.Clear();
}
for (int i = 0; i < dividends_.Count; i++)
{
if (!dividends_[i].hasOccurred(settlement, false))
{
moreArgs.dividends.Add(dividends_[i]);
moreArgs.dividendDates.Add(dividends_[i].date());
}
}
moreArgs.creditSpread = creditSpread_;
moreArgs.issueDate = issueDate_;
moreArgs.settlementDate = settlement;
moreArgs.settlementDays = settlementDays_;
moreArgs.redemption = redemption_;
}
public DiscretizedConvertible(ConvertibleBond.option.Arguments args,
GeneralizedBlackScholesProcess process, TimeGrid grid)
{
arguments_ = args;
process_ = process;
dividendValues_ = new Vector(arguments_.dividends.Count, 0.0);
Date settlementDate = process.riskFreeRate().link.referenceDate();
for (int i = 0; i < arguments_.dividends.Count; i++)
{
if (arguments_.dividends[i].date() >= settlementDate)
{
dividendValues_[i] = arguments_.dividends[i].amount() *
process.riskFreeRate().link.discount(arguments_.dividends[i].date());
}
}
DayCounter dayCounter = process.riskFreeRate().currentLink().dayCounter();
Date bondSettlement = arguments_.settlementDate;
stoppingTimes_ = new InitializedList <double>(arguments_.exercise.dates().Count, 0.0);
for (var i = 0; i < stoppingTimes_.Count; i++)
{
stoppingTimes_[i] = dayCounter.yearFraction(bondSettlement, arguments_.exercise.date(i));
}
callabilityTimes_ = new InitializedList <double>(arguments_.callabilityDates.Count, 0.0);
for (var i = 0; i < callabilityTimes_.Count; i++)
{
callabilityTimes_[i] = dayCounter.yearFraction(bondSettlement, arguments_.callabilityDates[i]);
}
couponTimes_ = new InitializedList <double>(arguments_.couponDates.Count, 0.0);
for (var i = 0; i < couponTimes_.Count; i++)
{
couponTimes_[i] = dayCounter.yearFraction(bondSettlement, arguments_.couponDates[i]);
}
dividendTimes_ = new InitializedList <double>(arguments_.dividendDates.Count, 0.0);
for (var i = 0; i < dividendTimes_.Count; i++)
{
dividendTimes_[i] = dayCounter.yearFraction(bondSettlement, arguments_.dividendDates[i]);
}
if (!grid.empty())
{
// adjust times to grid
for (var i = 0; i < stoppingTimes_.Count; i++)
{
stoppingTimes_[i] = grid.closestTime(stoppingTimes_[i]);
}
for (var i = 0; i < couponTimes_.Count; i++)
{
couponTimes_[i] = grid.closestTime(couponTimes_[i]);
}
for (var i = 0; i < dividendTimes_.Count; i++)
{
dividendTimes_[i] = grid.closestTime(dividendTimes_[i]);
}
for (var i = 0; i < callabilityTimes_.Count; i++)
{
callabilityTimes_[i] = grid.closestTime(callabilityTimes_[i]);
}
}
}
