public HullWhiteForwardProcess(Handle <YieldTermStructure> h, double a, double sigma)
{
process_ = new OrnsteinUhlenbeckProcess(a, sigma, h.link.forwardRate(0.0, 0.0,
Compounding.Continuous, Frequency.NoFrequency).value());
h_ = h;
a_ = a;
sigma_ = sigma;
}
public HullWhiteProcess(Handle <YieldTermStructure> h, double a, double sigma)
{
process_ = new OrnsteinUhlenbeckProcess(a, sigma, h.link.forwardRate(0.0, 0.0, Compounding.Continuous, Frequency.NoFrequency).value());
h_ = h;
a_ = a;
sigma_ = sigma;
Utils.QL_REQUIRE(a_ >= 0.0, () => "negative a given");
Utils.QL_REQUIRE(sigma_ >= 0.0, () => "negative sigma given");
}
public override void calculate()
{
// 1. Term structure
Handle <YieldTermStructure> ts = model_.currentLink().termStructure();
// 2. Mesher
DayCounter dc = ts.currentLink().dayCounter();
Date referenceDate = ts.currentLink().referenceDate();
double maturity = dc.yearFraction(referenceDate,
arguments_.exercise.lastDate());
OrnsteinUhlenbeckProcess process = new OrnsteinUhlenbeckProcess(model_.currentLink().a(), model_.currentLink().sigma());
Fdm1dMesher shortRateMesher =
new FdmSimpleProcess1DMesher(xGrid_, process, maturity, 1, invEps_);
FdmMesher mesher = new FdmMesherComposite(shortRateMesher);
// 3. Inner Value Calculator
List <Date> exerciseDates = arguments_.exercise.dates();
Dictionary <double, Date> t2d = new Dictionary <double, Date>();
for (int i = 0; i < exerciseDates.Count; ++i)
{
double t = dc.yearFraction(referenceDate, exerciseDates[i]);
Utils.QL_REQUIRE(t >= 0, () => "exercise dates must not contain past date");
t2d.Add(t, exerciseDates[i]);
}
Handle <YieldTermStructure> disTs = model_.currentLink().termStructure();
Handle <YieldTermStructure> fwdTs
= arguments_.swap.iborIndex().forwardingTermStructure();
Utils.QL_REQUIRE(fwdTs.currentLink().dayCounter() == disTs.currentLink().dayCounter(),
() => "day counter of forward and discount curve must match");
Utils.QL_REQUIRE(fwdTs.currentLink().referenceDate() == disTs.currentLink().referenceDate(),
() => "reference date of forward and discount curve must match");
HullWhite fwdModel =
new HullWhite(fwdTs, model_.currentLink().a(), model_.currentLink().sigma());
FdmInnerValueCalculator calculator =
new FdmAffineModelSwapInnerValue <HullWhite>(
model_.currentLink(), fwdModel,
arguments_.swap, t2d, mesher, 0);
// 4. Step conditions
FdmStepConditionComposite conditions =
FdmStepConditionComposite.vanillaComposite(
new DividendSchedule(), arguments_.exercise,
mesher, calculator, referenceDate, dc);
// 5. Boundary conditions
FdmBoundaryConditionSet boundaries = new FdmBoundaryConditionSet();
// 6. Solver
FdmSolverDesc solverDesc = new FdmSolverDesc();
solverDesc.mesher = mesher;
solverDesc.bcSet = boundaries;
solverDesc.condition = conditions;
solverDesc.calculator = calculator;
solverDesc.maturity = maturity;
solverDesc.timeSteps = tGrid_;
solverDesc.dampingSteps = dampingSteps_;
FdmHullWhiteSolver solver =
new FdmHullWhiteSolver(model_, solverDesc, schemeDesc_);
results_.value = solver.valueAt(0.0);
}
