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() { 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 addTimesTo(List<double> times) { Swaption.Arguments args=new Swaption.Arguments(); swaption_.setupArguments(args); List<double> swaptionTimes = new DiscretizedSwaption(args, termStructure_.link.referenceDate(), termStructure_.link.dayCounter()).mandatoryTimes(); /*times.insert(times.end(), swaptionTimes.begin(), swaptionTimes.end());*/ 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(); }