public override void calculate()
{
Utils.QL_REQUIRE(arguments_.settlementType == Settlement.Type.Physical, () =>
"cash-settled 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();
}
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;
}
protected GMRESResult solveImpl(Vector b, Vector x0)
{
double bn = Vector.Norm2(b);
GMRESResult result;
if (bn.IsEqual(0.0))
{
result = new GMRESResult(new InitializedList <double>(1, 0.0), b);
return(result);
}
Vector x = !x0.empty() ? x0 : new Vector(b.size(), 0.0);
Vector r = b - A_(x);
double g = Vector.Norm2(r);
if (g / bn < relTol_)
{
result = new GMRESResult(new InitializedList <double>(1, g / bn), x);
return(result);
}
List <Vector> v = new InitializedList <Vector>(1, r / g);
List <Vector> h = new InitializedList <Vector>(1, new Vector(maxIter_, 0.0));
List <double> c = new List <double>(maxIter_ + 1),
s = new List <double>(maxIter_ + 1),
z = new List <double>(maxIter_ + 1);
z[0] = g;
List <double> errors = new InitializedList <double>(1, g / bn);
for (int j = 0; j < maxIter_ && errors.Last() >= relTol_; ++j)
{
h.Add(new Vector(maxIter_, 0.0));
Vector w = A_((M_ != null) ? M_(v[j]) : v[j]);
for (int i = 0; i <= j; ++i)
{
h[i][j] = Vector.DotProduct(w, v[i]);
w -= h[i][j] * v[i];
}
h[j + 1][j] = Vector.Norm2(w);
if (h[j + 1][j] < Const.QL_EPSILON * Const.QL_EPSILON)
{
break;
}
v.Add(w / h[j + 1][j]);
for (int i = 0; i < j; ++i)
{
double h0 = c[i] * h[i][j] + s[i] * h[i + 1][j];
double h1 = -s[i] * h[i][j] + c[i] * h[i + 1][j];
h[i][j] = h0;
h[i + 1][j] = h1;
}
double nu = Math.Sqrt((h[j][j]) * (h[j][j])
+ (h[j + 1][j]) * (h[j + 1][j]));
c[j] = h[j][j] / nu;
s[j] = h[j + 1][j] / nu;
h[j][j] = nu;
h[j + 1][j] = 0.0;
z[j + 1] = -s[j] * z[j];
z[j] = c[j] * z[j];
errors.Add(Math.Abs(z[j + 1] / bn));
}
int k = v.Count - 1;
Vector y = new Vector(k, 0.0);
y[k - 1] = z[k - 1] / h[k - 1][k - 1];
for (int i = k - 2; i >= 0; --i)
{
y[i] = (z[i] - h[i].inner_product(
i + 1, k, i + 1, y, 0.0)) / h[i][i];
}
Vector xm = new Vector(x.Count, 0.0);
for (int i = 0; i < x.Count; i++)
{
xm[i] = v[i].inner_product(0, k, 0, y, 0.0);
}
xm = x + ((M_ != null) ? M_(xm) : xm);
result = new GMRESResult(errors, xm);
return(result);
}