public override void partialRollback(DiscretizedAsset asset, double to)
{
double from = asset.time();
if (Utils.close(from, to))
{
return;
}
Utils.QL_REQUIRE(from > to, () => " cannot roll the asset back to tile to it is already at time from ");
DiscretizedConvertible convertible = asset as DiscretizedConvertible;
int iFrom = t_.index(from);
int iTo = t_.index(to);
for (var i = iFrom - 1; i >= iTo; --i)
{
Vector newValues = new Vector(size(i));
Vector newSpreadAdjustedRate = new Vector(size(i));
Vector newConversionProbability = new Vector(size(i));
stepback(i, convertible.values(), convertible.conversionProbability(), convertible.spreadAdjustedRate(),
newValues, newConversionProbability, newSpreadAdjustedRate);
convertible.setTime(t_[i]);
convertible.setValues(newValues);
convertible.spreadAdjustedRate_ = newSpreadAdjustedRate;
convertible.conversionProbability_ = newConversionProbability;
// skip the very last adjustement
if (i != iTo)
{
convertible.adjustValues();
}
}
}
public override void calculate()
{
DayCounter rfdc = process_.riskFreeRate().link.dayCounter();
DayCounter divdc = process_.dividendYield().link.dayCounter();
DayCounter voldc = process_.blackVolatility().link.dayCounter();
Calendar volcal = process_.blackVolatility().link.calendar();
double s0 = process_.x0();
Utils.QL_REQUIRE(s0 > 0.0, () => "negative or null underlying");
double v = process_.blackVolatility().link.blackVol(arguments_.exercise.lastDate(), s0);
Date maturityDate = arguments_.exercise.lastDate();
double riskFreeRate = process_.riskFreeRate().link.zeroRate(maturityDate, rfdc, Compounding.Continuous, Frequency.NoFrequency).value();
double q = process_.dividendYield().link.zeroRate(maturityDate, divdc, Compounding.Continuous, Frequency.NoFrequency).value();
Date referenceDate = process_.riskFreeRate().link.referenceDate();
// substract dividends
ConvertibleBond.option.Arguments args = arguments_ as ConvertibleBond.option.Arguments;
for (int i = 0; i < args.dividends.Count; i++)
{
if (args.dividends[i].date() >= referenceDate)
{
s0 -= args.dividends[i].amount() * process_.riskFreeRate().link.discount(args.dividends[i].date());
}
Utils.QL_REQUIRE(s0 > 0.0, () => "negative value after substracting dividends");
}
// binomial trees with constant coefficient
Handle <Quote> underlying = new Handle <Quote>(new SimpleQuote(s0));
Handle <YieldTermStructure> flatRiskFree =
new Handle <YieldTermStructure>(new FlatForward(referenceDate, riskFreeRate, rfdc));
Handle <YieldTermStructure> flatDividends =
new Handle <YieldTermStructure>(new FlatForward(referenceDate, q, divdc));
Handle <BlackVolTermStructure> flatVol =
new Handle <BlackVolTermStructure>(new BlackConstantVol(referenceDate, volcal, v, voldc));
PlainVanillaPayoff payoff = args.payoff as PlainVanillaPayoff;
Utils.QL_REQUIRE(payoff != null, () => " non-plain payoff given ");
double maturity = rfdc.yearFraction(args.settlementDate, maturityDate);
GeneralizedBlackScholesProcess bs =
new GeneralizedBlackScholesProcess(underlying, flatDividends, flatRiskFree, flatVol);
T Tree = new T().factory(bs, maturity, timeSteps_, payoff.strike());
double creditSpread = args.creditSpread.link.value();
TsiveriotisFernandesLattice <T> lattice = new TsiveriotisFernandesLattice <T>(Tree, riskFreeRate,
maturity, timeSteps_, creditSpread, v, q);
DiscretizedConvertible convertible = new DiscretizedConvertible(args, bs, new TimeGrid(maturity, timeSteps_));
convertible.initialize(lattice, maturity);
convertible.rollback(0.0);
results_.value = convertible.presentValue();
Utils.QL_REQUIRE(results_.value < double.MaxValue, () => "floating-point overflow on tree grid");
}