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();
}