public override void addTimesTo(List<double> times) {
Swaption.Arguments args=new Swaption.Arguments();
swaption_.setupArguments(args);
List<double> swaptionTimes =
new DiscretizedSwaption(args,
termStructure_.link.referenceDate(),
termStructure_.link.dayCounter()).mandatoryTimes();
/*times.insert(times.end(),
swaptionTimes.begin(), swaptionTimes.end());*/
for(int i=0;i<swaptionTimes.Count;i++)
times.Insert(times.Count, swaptionTimes[i]);
}
public DiscretizedSwaption(Swaption.Arguments args,
Date referenceDate,
DayCounter dayCounter)
: base(new DiscretizedSwap(args, referenceDate, dayCounter), args.exercise.type(), new List<double>())
{
arguments_=args;
exerciseTimes_ = new InitializedList<double>(arguments_.exercise.dates().Count);
for (int i = 0; i < exerciseTimes_.Count; ++i)
exerciseTimes_[i] =
dayCounter.yearFraction(referenceDate,
arguments_.exercise.date(i));
// Date adjustments can get time vectors out of synch.
// Here, we try and collapse similar dates which could cause
// a mispricing.
for (int i=0; i<arguments_.exercise.dates().Count; i++) {
Date exerciseDate = arguments_.exercise.date(i);
for (int j = 0; j < arguments_.fixedPayDates.Count; j++) {
if (withinNextWeek(exerciseDate,
arguments_.fixedPayDates[j])
// coupons in the future are dealt with below
&& arguments_.fixedResetDates[j] < referenceDate)
arguments_.fixedPayDates[j] = exerciseDate;
}
for (int j = 0; j < arguments_.fixedResetDates.Count; j++) {
if (withinPreviousWeek(exerciseDate,
arguments_.fixedResetDates[j]))
arguments_.fixedResetDates[j] = exerciseDate;
}
for (int j = 0; j < arguments_.floatingResetDates.Count; j++) {
if (withinPreviousWeek(exerciseDate,
arguments_.floatingResetDates[j]))
arguments_.floatingResetDates[j] = exerciseDate;
}
}
double lastFixedPayment =
dayCounter.yearFraction(referenceDate,
arguments_.fixedPayDates.Last() );
double lastFloatingPayment =
dayCounter.yearFraction(referenceDate,
arguments_.floatingPayDates.Last());
lastPayment_ = Math.Max(lastFixedPayment,lastFloatingPayment);
underlying_ = new DiscretizedSwap(arguments_,
referenceDate,
dayCounter);
}
