public override void fetchResults(IPricingEngineResults r)
{
// copy from VanillaSwap
// works because similarly simple instrument
// that we always expect to be priced with a swap engine
base.fetchResults(r);
YearOnYearInflationSwap.Results results = r as YearOnYearInflationSwap.Results;
if (results != null)
{
// might be a swap engine, so no error is thrown
fairRate_ = results.fairRate;
fairSpread_ = results.fairSpread;
}
else
{
fairRate_ = null;
fairSpread_ = null;
}
if (fairRate_ == null)
{
// calculate it from other results
if (legBPS_[0] != null)
fairRate_ = fixedRate_ - NPV_ / (legBPS_[0] / Const.BASIS_POINT);
}
if (fairSpread_ == null)
{
// ditto
if (legBPS_[1] != null)
fairSpread_ = spread_ - NPV_ / (legBPS_[1] / Const.BASIS_POINT);
}
}
public override void fetchResults(IPricingEngineResults r)
{
base.fetchResults(r);
LoanPricingEngineResults results = r as LoanPricingEngineResults;
if (results == null)
{
throw new ArgumentException("wrong result type");
}
if (results.legNPV.Count != 0)
{
if (results.legNPV.Count != legNPV_.Count)
{
throw new ArgumentException("wrong number of leg NPV returned");
}
legNPV_ = results.legNPV;
}
else
{
legNPV_ = new InitializedList <double?>(legNPV_.Count);
}
}
public override void fetchResults(IPricingEngineResults r)
{
base.fetchResults(r);
VanillaSwap.Results results = r as VanillaSwap.Results;
if (results != null)
{
// might be a swap engine, so no error is thrown
fairRate_ = results.fairRate;
fairSpread_ = results.fairSpread;
}
else
{
fairRate_ = null;
fairSpread_ = null;
}
if (fairRate_ == null)
{
// calculate it from other results
if (legBPS_[0] != null)
{
fairRate_ = fixedRate_ - NPV_.GetValueOrDefault() / (legBPS_[0] / Const.BASIS_POINT);
}
}
if (fairSpread_ == null)
{
// ditto
if (legBPS_[1] != null)
{
fairSpread_ = spread_ - NPV_.GetValueOrDefault() / (legBPS_[1] / Const.BASIS_POINT);
}
}
}
public override void fetchResults(IPricingEngineResults r)
{
const double basisPoint = 1.0e-4;
base.fetchResults(r);
BasisSwap.Results results = r as BasisSwap.Results;
if (results != null)
{
fairLongSpread_ = results.fairLongSpread;
fairShortSpread_ = results.fairShortSpread;
}
else
{
fairLongSpread_ = null;
fairShortSpread_ = null;
}
// Long fair spread should be fine - no averaging or compounding
if (fairLongSpread_ == null && legBPS_[longNo_] != null)
{
fairLongSpread_ = longSpread_ - NPV_ / (legBPS_[longNo_] / basisPoint);
}
/* Short fair spread calculation ok if no averaging/compounding OR
* if there is averaging/compounding and the spread is added after */
if (fairShortSpread_ == null && legBPS_[shortNo_] != null)
{
fairShortSpread_ = shortSpread_ - NPV_ / (legBPS_[shortNo_] / basisPoint);
}
}
/*! When a derived result structure is defined for an instrument,
* this method should be overridden to read from it.
* This is mandatory in case a pricing engine is used. */
public virtual void fetchResults(IPricingEngineResults r)
{
var results = r as Results;
if (results == null) throw new ArgumentException("no results returned from pricing engine");
NPV = results.value;
errorEstimateValue = results.errorEstimate;
additionalResultsMap = results.additionalResults;
}
/*! When a derived result structure is defined for an instrument,
* this method should be overridden to read from it.
* This is mandatory in case a pricing engine is used. */
public virtual void fetchResults(IPricingEngineResults r)
{
Instrument.Results results = r as Instrument.Results;
if (results == null) throw new ArgumentException("no results returned from pricing engine");
NPV_ = results.value;
CASH_ = results.cash;
errorEstimate_ = results.errorEstimate;
additionalResults_ = results.additionalResults;
}
public override void fetchResults(IPricingEngineResults r)
{
base.fetchResults(r);
Bond.Results results = r as Bond.Results;
Utils.QL_REQUIRE(results != null, () => "wrong result type");
settlementValue_ = results.settlementValue;
}
public override void fetchResults(IPricingEngineResults r)
{
base.fetchResults(r);
Swap.Results results = r as Swap.Results;
Utils.QL_REQUIRE(results != null, () => "wrong result type");
if (!results.legNPV.empty())
{
Utils.QL_REQUIRE(results.legNPV.Count == legNPV_.Count, () => "wrong number of leg NPV returned");
legNPV_ = new List <double?>(results.legNPV);
}
else
{
legNPV_ = new InitializedList <double?>(legNPV_.Count);
}
if (!results.legBPS.empty())
{
Utils.QL_REQUIRE(results.legBPS.Count == legBPS_.Count, () => "wrong number of leg BPS returned");
legBPS_ = new List <double?>(results.legBPS);
}
else
{
legBPS_ = new InitializedList <double?>(legBPS_.Count);
}
if (!results.startDiscounts.empty())
{
Utils.QL_REQUIRE(results.startDiscounts.Count == startDiscounts_.Count, () => "wrong number of leg start discounts returned");
startDiscounts_ = new List <double?>(results.startDiscounts);
}
else
{
startDiscounts_ = new InitializedList <double?>(startDiscounts_.Count);
}
if (!results.endDiscounts.empty())
{
Utils.QL_REQUIRE(results.endDiscounts.Count == endDiscounts_.Count, () => "wrong number of leg end discounts returned");
endDiscounts_ = new List <double?>(results.endDiscounts);
}
else
{
endDiscounts_ = new InitializedList <double?>(endDiscounts_.Count);
}
if (results.npvDateDiscount != null)
{
npvDateDiscount_ = results.npvDateDiscount;
}
else
{
npvDateDiscount_ = null;
}
}
public override void fetchResults(IPricingEngineResults r)
{
base.fetchResults(r);
CatBond.Results results = r as CatBond.Results;
Utils.QL_REQUIRE(results != null, () => "wrong result type");
lossProbability_ = results.lossProbability;
expectedLoss_ = results.expectedLoss;
exhaustionProbability_ = results.exhaustionProbability;
}
/*! When a derived result structure is defined for an instrument,
* this method should be overridden to read from it.
* This is mandatory in case a pricing engine is used. */
public virtual void fetchResults(IPricingEngineResults r)
{
Instrument.Results results = r as Instrument.Results;
if (results == null)
{
throw new ArgumentException("no results returned from pricing engine");
}
NPV_ = results.value;
CASH_ = results.cash;
errorEstimate_ = results.errorEstimate;
additionalResults_ = results.additionalResults;
}
public override void fetchResults(IPricingEngineResults r)
{
base.fetchResults(r);
Bond.Results results = r as Bond.Results;
if (results == null)
{
throw new ApplicationException("wrong result type");
}
settlementValue_ = results.settlementValue;
}
public override void fetchResults(IPricingEngineResults r)
{
base.fetchResults(r);
ForwardVanillaOption.Results results = r as ForwardVanillaOption.Results;
Utils.QL_REQUIRE(results != null, () => "no results returned from pricing engine");
delta_ = results.delta;
gamma_ = results.gamma;
theta_ = results.theta;
vega_ = results.vega;
rho_ = results.rho;
dividendRho_ = results.dividendRho;
}
public override void fetchResults(IPricingEngineResults r)
{
base.fetchResults(r);
CreditDefaultSwap.Results results = r as CreditDefaultSwap.Results;
Utils.QL_REQUIRE(results != null, () => "wrong result type");
fairSpread_ = results.fairSpread;
fairUpfront_ = results.fairUpfront;
couponLegBPS_ = results.couponLegBPS;
couponLegNPV_ = results.couponLegNPV;
defaultLegNPV_ = results.defaultLegNPV;
upfrontNPV_ = results.upfrontNPV;
upfrontBPS_ = results.upfrontBPS;
}
/// <summary>
/// Sets the pricing results locally.
/// </summary>
public override void fetchResults(IPricingEngineResults r)
{
base.fetchResults(r);
Results results = r as Results;
if (results == null)
{
throw new ApplicationException("No greeks returned from pricing engine");
}
delta_ = results.delta;
gamma_ = results.gamma;
theta_ = results.theta;
vega_ = results.vega;
rho_ = results.rho;
}
public override void fetchResults(IPricingEngineResults r)
{
base.fetchResults(r);
AssetSwap.Results results = r as AssetSwap.Results;
if (results != null)
{
fairSpread_ = results.fairSpread;
fairCleanPrice_ = results.fairCleanPrice;
fairNonParRepayment_ = results.fairNonParRepayment;
}
else
{
fairSpread_ = null;
fairCleanPrice_ = null;
fairNonParRepayment_ = null;
}
}
public override void fetchResults(IPricingEngineResults r)
{
base.fetchResults(r);
Results results = r as Results;
if (results == null)
{
throw new ApplicationException("no greeks returned from pricing engine");
}
/* no check on null values - just copy.
* this allows:
* a) to decide in derived options what to do when null
* results are returned (throw? numerical calculation?)
* b) to implement slim engines which only calculate the
* value---of course care must be taken not to call
* the greeks methods when using these.
*/
delta_ = results.delta;
gamma_ = results.gamma;
theta_ = results.theta;
vega_ = results.vega;
rho_ = results.rho;
dividendRho_ = results.dividendRho;
// QL_ENSURE(moreResults != 0, "no more greeks returned from pricing engine");
/* no check on null values - just copy.
* this allows:
* a) to decide in derived options what to do when null
* results are returned (throw? numerical calculation?)
* b) to implement slim engines which only calculate the
* value---of course care must be taken not to call
* the greeks methods when using these.
*/
deltaForward_ = results.deltaForward;
elasticity_ = results.elasticity;
thetaPerDay_ = results.thetaPerDay;
strikeSensitivity_ = results.strikeSensitivity;
itmCashProbability_ = results.itmCashProbability;
}
// other
public override void fetchResults(IPricingEngineResults r)
{
const double basisPoint = 1.0e-4;
// copy from VanillaSwap
// works because similarly simple instrument
// that we always expect to be priced with a swap engine
base.fetchResults(r);
CPISwap.Results results = r as CPISwap.Results;
if (results != null)
{
// might be a swap engine, so no error is thrown
fairRate_ = results.fairRate;
fairSpread_ = results.fairSpread;
}
else
{
fairRate_ = null;
fairSpread_ = null;
}
if (fairRate_ == null)
{
// calculate it from other results
if (legBPS_[0] != null)
{
fairRate_ = fixedRate_ - NPV_ / (legBPS_[0] / basisPoint);
}
}
if (fairSpread_ == null)
{
// ditto
if (legBPS_[1] != null)
{
fairSpread_ = spread_ - NPV_ / (legBPS_[1] / basisPoint);
}
}
}
public override void fetchResults(IPricingEngineResults r)
{
base.fetchResults(r);
LoanPricingEngineResults results = r as LoanPricingEngineResults;
if (results == null) throw new ArgumentException("wrong result type");
if (results.legNPV.Count != 0)
{
if (results.legNPV.Count != legNPV_.Count)
{
throw new ArgumentException("wrong number of leg NPV returned");
}
legNPV_ = results.legNPV;
}
else
{
legNPV_ = new InitializedList<double?>(legNPV_.Count);
}
}
public override void fetchResults(IPricingEngineResults res)
{
base.fetchResults(res);
}
public virtual void calculate(IPricingEngineResults r)
{
throw new NotSupportedException();
}
public override void fetchResults(IPricingEngineResults r)
{
// you don't actually need to do anything else because it is so simple
base.fetchResults(r);
}
public override void calculate(IPricingEngineResults r)
{
engine_.calculate(r);
}
public override void calculate(IPricingEngineResults r)
{
OneAssetOption.Results results = r as OneAssetOption.Results;
Utils.QL_REQUIRE(results != null, () => "incorrect results type");
double beginDate, endDate;
int dateNumber = stoppingTimes_.Count;
bool lastDateIsResTime = false;
int firstIndex = -1;
int lastIndex = dateNumber - 1;
bool firstDateIsZero = false;
double firstNonZeroDate = getResidualTime();
double dateTolerance = 1e-6;
int j;
if (dateNumber > 0)
{
Utils.QL_REQUIRE(getDividendTime(0) >= 0, () => "first date (" + getDividendTime(0) + ") cannot be negative");
if (getDividendTime(0) < getResidualTime() * dateTolerance)
{
firstDateIsZero = true;
firstIndex = 0;
if (dateNumber >= 2)
{
firstNonZeroDate = getDividendTime(1);
}
}
if (Math.Abs(getDividendTime(lastIndex) - getResidualTime()) < dateTolerance)
{
lastDateIsResTime = true;
lastIndex = dateNumber - 2;
}
if (!firstDateIsZero)
{
firstNonZeroDate = getDividendTime(0);
}
if (dateNumber >= 2)
{
for (j = 1; j < dateNumber; j++)
{
Utils.QL_REQUIRE(getDividendTime(j - 1) < getDividendTime(j), () =>
"dates must be in increasing order: " + getDividendTime(j - 1) +
" is not strictly smaller than " + getDividendTime(j));
}
}
}
double dt = getResidualTime() / (timeStepPerPeriod_ * (dateNumber + 1));
// Ensure that dt is always smaller than the first non-zero date
if (firstNonZeroDate <= dt)
{
dt = firstNonZeroDate / 2.0;
}
setGridLimits();
initializeInitialCondition();
initializeOperator();
initializeBoundaryConditions();
initializeModel();
initializeStepCondition();
prices_ = (SampledCurve)intrinsicValues_.Clone();
if (lastDateIsResTime)
{
executeIntermediateStep(dateNumber - 1);
}
j = lastIndex;
object temp;
do
{
if (j == dateNumber - 1)
{
beginDate = getResidualTime();
}
else
{
beginDate = getDividendTime(j + 1);
}
if (j >= 0)
{
endDate = getDividendTime(j);
}
else
{
endDate = dt;
}
temp = prices_.values();
model_.rollback(ref temp, beginDate, endDate, timeStepPerPeriod_, stepCondition_);
prices_.setValues((Vector)temp);
if (j >= 0)
{
executeIntermediateStep(j);
}
} while (--j >= firstIndex);
temp = prices_.values();
model_.rollback(ref temp, dt, 0, 1, stepCondition_);
prices_.setValues((Vector)temp);
if (firstDateIsZero)
{
executeIntermediateStep(0);
}
results.value = prices_.valueAtCenter();
results.delta = prices_.firstDerivativeAtCenter();
results.gamma = prices_.secondDerivativeAtCenter();
results.additionalResults["priceCurve"] = prices_;
}
public override void calculate(IPricingEngineResults r)
{
OneAssetOption.Results results = r as OneAssetOption.Results;
setGridLimits();
initializeInitialCondition();
initializeOperator();
initializeBoundaryConditions();
initializeStepCondition();
List <IOperator> operatorSet = new List <IOperator>();
List <Vector> arraySet = new List <Vector>();
BoundaryConditionSet bcSet = new BoundaryConditionSet();
StepConditionSet <Vector> conditionSet = new StepConditionSet <Vector>();
prices_ = (SampledCurve)intrinsicValues_.Clone();
controlPrices_ = (SampledCurve)intrinsicValues_.Clone();
controlOperator_ = (TridiagonalOperator)finiteDifferenceOperator_.Clone();
controlBCs_[0] = BCs_[0];
controlBCs_[1] = BCs_[1];
operatorSet.Add(finiteDifferenceOperator_);
operatorSet.Add(controlOperator_);
arraySet.Add(prices_.values());
arraySet.Add(controlPrices_.values());
bcSet.Add(BCs_);
bcSet.Add(controlBCs_);
conditionSet.Add(stepCondition_);
conditionSet.Add(new NullCondition <Vector>());
var model = new FiniteDifferenceModel <ParallelEvolver <CrankNicolson <TridiagonalOperator> > >(operatorSet, bcSet);
object temp = arraySet;
model.rollback(ref temp, getResidualTime(), 0.0, timeSteps_, conditionSet);
arraySet = (List <Vector>)temp;
prices_.setValues(arraySet[0]);
controlPrices_.setValues(arraySet[1]);
StrikedTypePayoff striked_payoff = payoff_ as StrikedTypePayoff;
Utils.QL_REQUIRE(striked_payoff != null, () => "non-striked payoff given");
double variance = process_.blackVolatility().link.blackVariance(exerciseDate_, striked_payoff.strike());
double dividendDiscount = process_.dividendYield().link.discount(exerciseDate_);
double riskFreeDiscount = process_.riskFreeRate().link.discount(exerciseDate_);
double spot = process_.stateVariable().link.value();
double forwardPrice = spot * dividendDiscount / riskFreeDiscount;
BlackCalculator black = new BlackCalculator(striked_payoff, forwardPrice, Math.Sqrt(variance), riskFreeDiscount);
results.value = prices_.valueAtCenter()
- controlPrices_.valueAtCenter()
+ black.value();
results.delta = prices_.firstDerivativeAtCenter()
- controlPrices_.firstDerivativeAtCenter()
+ black.delta(spot);
results.gamma = prices_.secondDerivativeAtCenter()
- controlPrices_.secondDerivativeAtCenter()
+ black.gamma(spot);
results.additionalResults["priceCurve"] = prices_;
}
public override void fetchResults(IPricingEngineResults r)
{
const double basisPoint = 1.0e-4;
base.fetchResults(r);
VanillaSwap.Results results = r as VanillaSwap.Results;
if (results != null)
{ // might be a swap engine, so no error is thrown
fairRate_ = results.fairRate;
fairSpread_ = results.fairSpread;
}
else
{
fairRate_ = null;
fairSpread_ = null;
}
if (fairRate_ == null)
{
// calculate it from other results
if (legBPS_[0] != null)
fairRate_ = fixedRate_ - NPV_.GetValueOrDefault() / (legBPS_[0] / basisPoint);
}
if (fairSpread_ == null)
{
// ditto
if (legBPS_[1] != null)
fairSpread_ = spread_ - NPV_.GetValueOrDefault() / (legBPS_[1] / basisPoint);
}
}
public override void calculate(IPricingEngineResults r)
{
OneAssetOption.Results results = r as OneAssetOption.Results;
if (results == null) throw new ApplicationException("incorrect results type");
double beginDate, endDate;
int dateNumber = stoppingTimes_.Count;
bool lastDateIsResTime = false;
int firstIndex = -1;
int lastIndex = dateNumber - 1;
bool firstDateIsZero = false;
double firstNonZeroDate = getResidualTime();
double dateTolerance = 1e-6;
int j;
if (dateNumber > 0) {
if (!(getDividendTime(0) >= 0))
throw new ApplicationException("first date (" + getDividendTime(0) + ") cannot be negative");
if (getDividendTime(0) < getResidualTime() * dateTolerance) {
firstDateIsZero = true;
firstIndex = 0;
if (dateNumber >= 2)
firstNonZeroDate = getDividendTime(1);
}
if (Math.Abs(getDividendTime(lastIndex) - getResidualTime()) < dateTolerance) {
lastDateIsResTime = true;
lastIndex = dateNumber - 2;
}
if (!firstDateIsZero)
firstNonZeroDate = getDividendTime(0);
if (dateNumber >= 2) {
for (j = 1; j < dateNumber; j++)
if (!(getDividendTime(j - 1) < getDividendTime(j)))
throw new ApplicationException("dates must be in increasing order: "
+ getDividendTime(j - 1) + " is not strictly smaller than " + getDividendTime(j));
}
}
double dt = getResidualTime() / (timeStepPerPeriod_ * (dateNumber + 1));
// Ensure that dt is always smaller than the first non-zero date
if (firstNonZeroDate <= dt)
dt = firstNonZeroDate / 2.0;
setGridLimits();
initializeInitialCondition();
initializeOperator();
initializeBoundaryConditions();
initializeModel();
initializeStepCondition();
prices_ = (SampledCurve)intrinsicValues_.Clone();
if (lastDateIsResTime)
executeIntermediateStep(dateNumber - 1);
j = lastIndex;
object temp;
do {
if (j == dateNumber - 1)
beginDate = getResidualTime();
else
beginDate = getDividendTime(j + 1);
if (j >= 0)
endDate = getDividendTime(j);
else
endDate = dt;
temp = prices_.values();
model_.rollback(ref temp, beginDate, endDate, timeStepPerPeriod_, stepCondition_);
prices_.setValues((Vector)temp);
if (j >= 0)
executeIntermediateStep(j);
} while (--j >= firstIndex);
temp = prices_.values();
model_.rollback(ref temp, dt, 0, 1, stepCondition_);
prices_.setValues((Vector)temp);
if (firstDateIsZero)
executeIntermediateStep(0);
results.value = prices_.valueAtCenter();
results.delta = prices_.firstDerivativeAtCenter();
results.gamma = prices_.secondDerivativeAtCenter();
results.additionalResults["priceCurve"] = prices_;
}
public override void calculate(IPricingEngineResults r)
{
OneAssetOption.Results results = r as OneAssetOption.Results;
setGridLimits();
initializeInitialCondition();
initializeOperator();
initializeBoundaryConditions();
initializeStepCondition();
// typedef StandardSystemFiniteDifferenceModel model_type;
List<IOperator> operatorSet = new List<IOperator>();
List<Vector> arraySet = new List<Vector>();
BoundaryConditionSet bcSet = new BoundaryConditionSet();
StepConditionSet<Vector> conditionSet = new StepConditionSet<Vector>();
prices_ = (SampledCurve)intrinsicValues_.Clone();
controlPrices_ = (SampledCurve)intrinsicValues_.Clone();
controlOperator_ = (TridiagonalOperator)finiteDifferenceOperator_.Clone();
controlBCs_[0] = BCs_[0];
controlBCs_[1] = BCs_[1];
operatorSet.Add(finiteDifferenceOperator_);
operatorSet.Add(controlOperator_);
arraySet.Add(prices_.values());
arraySet.Add(controlPrices_.values());
bcSet.Add(BCs_);
bcSet.Add(controlBCs_);
conditionSet.Add(stepCondition_);
conditionSet.Add(new NullCondition<Vector>());
var model = new FiniteDifferenceModel<ParallelEvolver<CrankNicolson<TridiagonalOperator>>>(operatorSet, bcSet);
object temp = arraySet;
model.rollback(ref temp, getResidualTime(), 0.0, timeSteps_, conditionSet);
arraySet = (List<Vector>)temp;
prices_.setValues(arraySet[0]);
controlPrices_.setValues(arraySet[1]);
StrikedTypePayoff striked_payoff = payoff_ as StrikedTypePayoff;
if (striked_payoff == null)
throw new ApplicationException("non-striked payoff given");
double variance = process_.blackVolatility().link.blackVariance(exerciseDate_, striked_payoff.strike());
double dividendDiscount = process_.dividendYield().link.discount(exerciseDate_);
double riskFreeDiscount = process_.riskFreeRate().link.discount(exerciseDate_);
double spot = process_.stateVariable().link.value();
double forwardPrice = spot * dividendDiscount / riskFreeDiscount;
BlackCalculator black = new BlackCalculator(striked_payoff, forwardPrice, Math.Sqrt(variance), riskFreeDiscount);
results.value = prices_.valueAtCenter()
- controlPrices_.valueAtCenter()
+ black.value();
results.delta = prices_.firstDerivativeAtCenter()
- controlPrices_.firstDerivativeAtCenter()
+ black.delta(spot);
results.gamma = prices_.secondDerivativeAtCenter()
- controlPrices_.secondDerivativeAtCenter()
+ black.gamma(spot);
results.additionalResults.Add("priceCurve", prices_);
}
public override void fetchResults(IPricingEngineResults r)
{
base.fetchResults(r);
BasisSwap.Results results = r as BasisSwap.Results;
}
public override void fetchResults(IPricingEngineResults r)
{
base.fetchResults(r);
BasisSwap.Results results = r as BasisSwap.Results;
}
public override void fetchResults(IPricingEngineResults r)
{
base.fetchResults(r);
AssetSwap.Results results = r as AssetSwap.Results;
if (results != null)
{
fairSpread_ = results.fairSpread;
fairCleanPrice_= results.fairCleanPrice;
fairNonParRepayment_= results.fairNonParRepayment;
}
else
{
fairSpread_ = null;
fairCleanPrice_ = null;
fairNonParRepayment_ = null;
}
}