public override void reset(int size)
{
// Set to bond redemption values
values_ = new Vector(size, Convert.ToDouble(arguments_.redemption));
conversionProbability_ = new Vector(size, 0.0);
spreadAdjustedRate_ = new Vector(size, 0.0);
DayCounter rfdc = process_.riskFreeRate().link.dayCounter();
// this takes care of the convertibility and conversion probabilities
adjustValues();
Handle <Quote> creditSpread = arguments_.creditSpread;
Date exercise = arguments_.exercise.lastDate();
InterestRate riskFreeRate = process_.riskFreeRate().link
.zeroRate(exercise, rfdc, Compounding.Continuous, Frequency.NoFrequency);
// Claculate blended discount rate to be used on roll back .
for (var j = 0; j < values_.Count; j++)
{
spreadAdjustedRate_[j] = conversionProbability_[j] * riskFreeRate.value() +
(1 - conversionProbability_[j]) *
(riskFreeRate.value() + creditSpread.link.value());
}
}
protected override double zeroYieldImpl(double t)
{
// to be fixed: user-defined daycounter should be used
InterestRate zeroRate = originalCurve_.link.zeroRate(t, comp_, freq_, true);
InterestRate spreadedRate = new InterestRate(zeroRate.value() + spread_.value(), zeroRate.dayCounter(),
zeroRate.compounding(), zeroRate.frequency());
return(spreadedRate.equivalentRate(t, Compounding.Continuous, Frequency.NoFrequency).value());
}
protected override double zeroYieldImpl(double t)
{
double spread = calcSpread(t);
InterestRate zeroRate = originalCurve_.link.zeroRate(t, compounding_, frequency_, true);
InterestRate spreadedRate = new InterestRate(zeroRate.value() + spread,
zeroRate.dayCounter(),
zeroRate.compounding(),
zeroRate.frequency());
return(spreadedRate.equivalentRate(Compounding.Continuous, Frequency.NoFrequency, t).value());
}
public override double value(Vector v, double t)
{
InterestRate forward = termStructure_.currentLink().forwardRate(t, t,
Compounding.Continuous,
Frequency.NoFrequency);
double temp1 = sigma_ * (1.0 - Math.Exp(-a_ * t)) / a_;
double temp2 = eta_ * (1.0 - Math.Exp(-b_ * t)) / b_;
double value = 0.5 * temp1 * temp1 + 0.5 * temp2 * temp2 +
rho_ * temp1 * temp2 + forward.value();
return(value);
}
