protected override void preAdjustValuesImpl()
{
for (int i=0; i<startTimes_.Count; i++) {
if (isOnTime(startTimes_[i])) {
double end = endTimes_[i];
double tenor = arguments_.accrualTimes[i];
DiscretizedDiscountBond bond=new DiscretizedDiscountBond();
bond.initialize(method(), end);
bond.rollback(time_);
CapFloorType type = arguments_.type;
double gearing = arguments_.gearings[i];
double nominal = arguments_.nominals[i];
if ( (type == CapFloorType.Cap) ||
(type == CapFloorType.Collar)) {
double accrual =(double)( 1.0 + arguments_.capRates[i]*tenor);
double strike = 1.0/accrual;
for (int j=0; j<values_.size(); j++)
values_[j] += nominal*accrual*gearing*
Math.Max(strike - bond.values()[j], 0.0);
}
if ( (type == CapFloorType.Floor) ||
(type == CapFloorType.Collar)) {
double accrual =(double)( 1.0 + arguments_.floorRates[i]*tenor);
double strike = 1.0/accrual;
double mult = (type == CapFloorType.Floor)?1.0:-1.0;
for (int j=0; j<values_.size(); j++)
values_[j] += nominal*accrual*mult*gearing*
Math.Max(bond.values()[j] - strike, 0.0);
}
}
}
}
protected override void preAdjustValuesImpl()
{
// floating payments
for (int i = 0; i < floatingResetTimes_.Count; i++)
{
double t = floatingResetTimes_[i];
if (t >= 0.0 && isOnTime(t))
{
DiscretizedDiscountBond bond = new DiscretizedDiscountBond();
bond.initialize(method(), floatingPayTimes_[i]);
bond.rollback(time_);
double nominal = arguments_.nominal;
double T = arguments_.floatingAccrualTimes[i];
double spread = arguments_.floatingSpreads[i];
double accruedSpread = nominal * T * spread;
for (int j = 0; j < values_.size(); j++)
{
double coupon = nominal * (1.0 - bond.values()[j])
+ accruedSpread * bond.values()[j];
if (arguments_.type == VanillaSwap.Type.Payer)
{
values_[j] += coupon;
}
else
{
values_[j] -= coupon;
}
}
}
}
// fixed payments
for (int i = 0; i < fixedResetTimes_.Count; i++)
{
double t = fixedResetTimes_[i];
if (t >= 0.0 && isOnTime(t))
{
DiscretizedDiscountBond bond = new DiscretizedDiscountBond();
bond.initialize(method(), fixedPayTimes_[i]);
bond.rollback(time_);
double fixedCoupon = arguments_.fixedCoupons[i];
for (int j = 0; j < values_.size(); j++)
{
double coupon = fixedCoupon * bond.values()[j];
if (arguments_.type == VanillaSwap.Type.Payer)
{
values_[j] -= coupon;
}
else
{
values_[j] += coupon;
}
}
}
}
}
protected override void preAdjustValuesImpl()
{
for (int i = 0; i < startTimes_.Count; i++)
{
if (isOnTime(startTimes_[i]))
{
double end = endTimes_[i];
double tenor = arguments_.accrualTimes[i];
DiscretizedDiscountBond bond = new DiscretizedDiscountBond();
bond.initialize(method(), end);
bond.rollback(time_);
CapFloorType type = arguments_.type;
double gearing = arguments_.gearings[i];
double nominal = arguments_.nominals[i];
if ((type == CapFloorType.Cap) ||
(type == CapFloorType.Collar))
{
double accrual = (double)(1.0 + arguments_.capRates[i] * tenor);
double strike = 1.0 / accrual;
for (int j = 0; j < values_.size(); j++)
{
values_[j] += nominal * accrual * gearing *
Math.Max(strike - bond.values()[j], 0.0);
}
}
if ((type == CapFloorType.Floor) ||
(type == CapFloorType.Collar))
{
double accrual = (double)(1.0 + arguments_.floorRates[i] * tenor);
double strike = 1.0 / accrual;
double mult = (type == CapFloorType.Floor) ? 1.0 : -1.0;
for (int j = 0; j < values_.size(); j++)
{
values_[j] += nominal * accrual * mult * gearing *
Math.Max(bond.values()[j] - strike, 0.0);
}
}
}
}
}
protected override void preAdjustValuesImpl()
{
// floating payments
for (int i = 0; i < floatingResetTimes_.Count; i++){
double t = floatingResetTimes_[i];
if (t >= 0.0 && isOnTime(t)){
DiscretizedDiscountBond bond = new DiscretizedDiscountBond();
bond.initialize(method(), floatingPayTimes_[i]);
bond.rollback(time_);
double nominal = arguments_.nominal;
double T = arguments_.floatingAccrualTimes[i];
double spread = arguments_.floatingSpreads[i];
double accruedSpread = nominal * T * spread;
for (int j = 0; j < values_.size(); j++){
double coupon = nominal * (1.0 - bond.values()[j])
+ accruedSpread * bond.values()[j];
if (arguments_.type == VanillaSwap.Type.Payer)
values_[j] += coupon;
else
values_[j] -= coupon;
}
}
}
// fixed payments
for (int i = 0; i < fixedResetTimes_.Count; i++){
double t = fixedResetTimes_[i];
if (t >= 0.0 && isOnTime(t)){
DiscretizedDiscountBond bond = new DiscretizedDiscountBond();
bond.initialize(method(), fixedPayTimes_[i]);
bond.rollback(time_);
double fixedCoupon = arguments_.fixedCoupons[i];
for (int j = 0; j < values_.size(); j++){
double coupon = fixedCoupon * bond.values()[j];
if (arguments_.type == VanillaSwap.Type.Payer)
values_[j] -= coupon;
else
values_[j] += coupon;
}
}
}
}