public override void addTimesTo(List <double> times)
{
calculate();
Swaption.Arguments args = new Swaption.Arguments();
swaption_.setupArguments(args);
List <double> swaptionTimes =
new DiscretizedSwaption(args,
termStructure_.link.referenceDate(),
termStructure_.link.dayCounter()).mandatoryTimes();
for (int i = 0; i < swaptionTimes.Count; i++)
{
times.Insert(times.Count, swaptionTimes[i]);
}
}
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();
}
