public override void calculate() { if (base.model_ == null) { throw new ArgumentException("no model specified"); } Date referenceDate; DayCounter dayCounter; ITermStructureConsistentModel tsmodel = (ITermStructureConsistentModel)base.model_.link; try { if (tsmodel != null) { referenceDate = tsmodel.termStructure().link.referenceDate(); dayCounter = tsmodel.termStructure().link.dayCounter(); } else { referenceDate = termStructure_.link.referenceDate(); dayCounter = termStructure_.link.dayCounter(); } } catch { referenceDate = termStructure_.link.referenceDate(); dayCounter = termStructure_.link.dayCounter(); } DiscretizedSwap swap = new DiscretizedSwap(arguments_, referenceDate, dayCounter); List <double> times = swap.mandatoryTimes(); Lattice lattice; if (lattice_ != null) { lattice = lattice_; } else { TimeGrid timeGrid = new TimeGrid(times, times.Count, timeSteps_); lattice = model_.link.tree(timeGrid); } swap.initialize(lattice, times.Last()); swap.rollback(0.0); results_.value = swap.presentValue(); }
//@} public override void calculate() { Utils.QL_REQUIRE(model_ != null, () => "no model specified"); Date referenceDate; DayCounter dayCounter; ITermStructureConsistentModel tsmodel = (ITermStructureConsistentModel)base.model_.link; if (tsmodel != null) { referenceDate = tsmodel.termStructure().link.referenceDate(); dayCounter = tsmodel.termStructure().link.dayCounter(); } else { referenceDate = termStructure_.link.referenceDate(); dayCounter = termStructure_.link.dayCounter(); } DiscretizedCallableFixedRateBond callableBond = new DiscretizedCallableFixedRateBond(arguments_, referenceDate, dayCounter); Lattice lattice; if (lattice_ != null) { lattice = lattice_; } else { List <double> times = callableBond.mandatoryTimes(); TimeGrid timeGrid = new TimeGrid(times, times.Count, timeSteps_); lattice = model_.link.tree(timeGrid); } double redemptionTime = dayCounter.yearFraction(referenceDate, arguments_.redemptionDate); callableBond.initialize(lattice, redemptionTime); callableBond.rollback(0.0); results_.value = results_.settlementValue = callableBond.presentValue(); }
public override void calculate() { Utils.QL_REQUIRE(arguments_.settlementType == Settlement.Type.Physical, () => "cash-settled swaptions not priced by Jamshidian engine"); Utils.QL_REQUIRE(arguments_.exercise.type() == Exercise.Type.European, () => "cannot use the Jamshidian decomposition on exotic swaptions"); Utils.QL_REQUIRE(arguments_.swap.spread.IsEqual(0.0), () => "non zero spread (" + arguments_.swap.spread + ") not allowed"); Date referenceDate; DayCounter dayCounter; ITermStructureConsistentModel tsmodel = (ITermStructureConsistentModel)base.model_.link; try { if (tsmodel != null) { referenceDate = tsmodel.termStructure().link.referenceDate(); dayCounter = tsmodel.termStructure().link.dayCounter(); } else { referenceDate = termStructure_.link.referenceDate(); dayCounter = termStructure_.link.dayCounter(); } } catch { referenceDate = termStructure_.link.referenceDate(); dayCounter = termStructure_.link.dayCounter(); } List <double> amounts = new InitializedList <double>(arguments_.fixedCoupons.Count); for (int i = 0; i < amounts.Count; i++) { amounts[i] = arguments_.fixedCoupons[i]; } amounts[amounts.Count - 1] = amounts.Last() + arguments_.nominal; double maturity = dayCounter.yearFraction(referenceDate, arguments_.exercise.date(0)); List <double> fixedPayTimes = new InitializedList <double>(arguments_.fixedPayDates.Count); for (int i = 0; i < fixedPayTimes.Count; i++) { fixedPayTimes[i] = dayCounter.yearFraction(referenceDate, arguments_.fixedPayDates[i]); } rStarFinder finder = new rStarFinder(model_, arguments_.nominal, maturity, fixedPayTimes, amounts); Brent s1d = new Brent(); double minStrike = -10.0; double maxStrike = 10.0; s1d.setMaxEvaluations(10000); s1d.setLowerBound(minStrike); s1d.setUpperBound(maxStrike); double rStar = s1d.solve(finder, 1e-8, 0.05, minStrike, maxStrike); Option.Type w = arguments_.type == VanillaSwap.Type.Payer ? Option.Type.Put : Option.Type.Call; int size = arguments_.fixedCoupons.Count; double value = 0.0; for (int i = 0; i < size; i++) { double fixedPayTime = dayCounter.yearFraction(referenceDate, arguments_.fixedPayDates[i]); double strike = model_.link.discountBond(maturity, fixedPayTime, rStar); double dboValue = model_.link.discountBondOption( w, strike, maturity, fixedPayTime); value += amounts[i] * dboValue; } results_.value = value; }
//@} public override void calculate() { if (!(base.arguments_.settlementType == Settlement.Type.Physical)) { throw new ArgumentException("cash-settled swaptions not priced with tree engine"); } if (base.model_ == null) { throw new ArgumentException("no model specified"); } Date referenceDate; DayCounter dayCounter; ITermStructureConsistentModel tsmodel = (ITermStructureConsistentModel)base.model_.link; try { if (tsmodel != null) { referenceDate = tsmodel.termStructure().link.referenceDate(); dayCounter = tsmodel.termStructure().link.dayCounter(); } else { referenceDate = termStructure_.link.referenceDate(); dayCounter = termStructure_.link.dayCounter(); } } catch { referenceDate = termStructure_.link.referenceDate(); dayCounter = termStructure_.link.dayCounter(); } DiscretizedSwaption swaption = new DiscretizedSwaption(arguments_, referenceDate, dayCounter); Lattice lattice; if (lattice_ != null) { lattice = lattice_; } else { List <double> times = swaption.mandatoryTimes(); TimeGrid timeGrid = new TimeGrid(times, times.Count, timeSteps_); lattice = model_.link.tree(timeGrid); } List <double> stoppingTimes = new InitializedList <double>(arguments_.exercise.dates().Count); for (int i = 0; i < stoppingTimes.Count; ++i) { stoppingTimes[i] = dayCounter.yearFraction(referenceDate, arguments_.exercise.date(i)); } swaption.initialize(lattice, stoppingTimes.Last()); double nextExercise; /*std::find_if(stoppingTimes.begin(), * stoppingTimes.end(), * std::bind2nd(std::greater_equal<Time>(), 0.0));*/ List <double> listExercise = new List <double>(); listExercise.AddRange(stoppingTimes.FindAll(x => x >= 0)); nextExercise = listExercise[0]; swaption.rollback(nextExercise); results_.value = swaption.presentValue(); }
public override void calculate() { Utils.QL_REQUIRE(arguments_.settlementMethod != Settlement.Method.ParYieldCurve, () => "cash-settled (ParYieldCurve) swaptions not priced with tree engine"); Utils.QL_REQUIRE(model_ != null, () => "no model specified"); Date referenceDate; DayCounter dayCounter; ITermStructureConsistentModel tsmodel = (ITermStructureConsistentModel)base.model_.link; try { if (tsmodel != null) { referenceDate = tsmodel.termStructure().link.referenceDate(); dayCounter = tsmodel.termStructure().link.dayCounter(); } else { referenceDate = termStructure_.link.referenceDate(); dayCounter = termStructure_.link.dayCounter(); } } catch { referenceDate = termStructure_.link.referenceDate(); dayCounter = termStructure_.link.dayCounter(); } DiscretizedSwaption swaption = new DiscretizedSwaption(arguments_, referenceDate, dayCounter); Lattice lattice; if (lattice_ != null) { lattice = lattice_; } else { List <double> times = swaption.mandatoryTimes(); TimeGrid timeGrid = new TimeGrid(times, times.Count, timeSteps_); lattice = model_.link.tree(timeGrid); } List <double> stoppingTimes = new InitializedList <double>(arguments_.exercise.dates().Count); for (int i = 0; i < stoppingTimes.Count; ++i) { stoppingTimes[i] = dayCounter.yearFraction(referenceDate, arguments_.exercise.date(i)); } swaption.initialize(lattice, stoppingTimes.Last()); double nextExercise; List <double> listExercise = new List <double>(); listExercise.AddRange(stoppingTimes.FindAll(x => x >= 0)); nextExercise = listExercise[0]; swaption.rollback(nextExercise); results_.value = swaption.presentValue(); }