public override void calculate()
{
if (model_ == null)
{
throw new ArgumentException("null model");
}
Date referenceDate = new Date();
DayCounter dayCounter = new DayCounter();
try{
TermStructureConsistentModel tsmodel = (TermStructureConsistentModel)model_;
///if (tsmodel != null)
referenceDate = tsmodel.termStructure().link.referenceDate();
dayCounter = tsmodel.termStructure().link.dayCounter();
}
//else
catch
{
referenceDate = termStructure_.link.referenceDate();
dayCounter = termStructure_.link.dayCounter();
}
double value = 0.0;
CapFloorType type = arguments_.type;
int nPeriods = arguments_.endDates.Count;
for (int i = 0; i < nPeriods; i++)
{
double fixingTime =
dayCounter.yearFraction(referenceDate,
arguments_.fixingDates[i]);
double paymentTime =
dayCounter.yearFraction(referenceDate,
arguments_.endDates[i]);
#if QL_TODAYS_PAYMENTS
if (paymentTime >= 0.0)
{
#else
if (paymentTime > 0.0)
{
#endif
double tenor = arguments_.accrualTimes[i];
double fixing = (double)arguments_.forwards[i];
if (fixingTime <= 0.0)
{
if (type == CapFloorType.Cap || type == CapFloorType.Collar)
{
double discount = model_.discount(paymentTime);
double strike = (double)arguments_.capRates[i];
value += discount * arguments_.nominals[i] * tenor
* arguments_.gearings[i]
* Math.Max(0.0, fixing - strike);
}
if (type == CapFloorType.Floor || type == CapFloorType.Collar)
{
double discount = model_.discount(paymentTime);
double strike = (double)arguments_.floorRates[i];
double mult = (type == CapFloorType.Floor) ? 1.0 : -1.0;
value += discount * arguments_.nominals[i] * tenor
* mult * arguments_.gearings[i]
* Math.Max(0.0, strike - fixing);
}
}
else
{
double maturity =
dayCounter.yearFraction(referenceDate,
arguments_.startDates[i]);
if (type == CapFloorType.Cap || type == CapFloorType.Collar)
{
double temp = 1.0 + (double)arguments_.capRates[i] * tenor;
value += arguments_.nominals[i] *
arguments_.gearings[i] * temp *
model_.discountBondOption(Option.Type.Put, 1.0 / temp,
maturity, paymentTime);
}
if (type == CapFloorType.Floor || type == CapFloorType.Collar)
{
double temp = 1.0 + (double)arguments_.floorRates[i] * tenor;
double mult = (type == CapFloorType.Floor) ? 1.0 : -1.0;
value += arguments_.nominals[i] *
arguments_.gearings[i] * temp *mult *
model_.discountBondOption(Option.Type.Call, 1.0 / temp,
maturity, paymentTime);
}
}
}
}
results_.value = value;
}
}
