public override void calculate()
{
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();
}
DiscretizedSwap swap = new DiscretizedSwap(arguments_, referenceDate, dayCounter);
List <double> times = swap.mandatoryTimes();
Lattice lattice;
if (lattice_ != null)
{
lattice = lattice_;
}
else
{
TimeGrid timeGrid = new TimeGrid(times, times.Count, timeSteps_);
lattice = model_.link.tree(timeGrid);
}
swap.initialize(lattice, times.Last());
swap.rollback(0.0);
results_.value = swap.presentValue();
}
public DiscretizedSwaption(Swaption.Arguments args,
Date referenceDate,
DayCounter dayCounter)
: base(new DiscretizedSwap(args, referenceDate, dayCounter), args.exercise.type(), new List<double>())
{
arguments_=args;
exerciseTimes_ = new InitializedList<double>(arguments_.exercise.dates().Count);
for (int i = 0; i < exerciseTimes_.Count; ++i)
exerciseTimes_[i] =
dayCounter.yearFraction(referenceDate,
arguments_.exercise.date(i));
// Date adjustments can get time vectors out of synch.
// Here, we try and collapse similar dates which could cause
// a mispricing.
for (int i=0; i<arguments_.exercise.dates().Count; i++) {
Date exerciseDate = arguments_.exercise.date(i);
for (int j = 0; j < arguments_.fixedPayDates.Count; j++) {
if (withinNextWeek(exerciseDate,
arguments_.fixedPayDates[j])
// coupons in the future are dealt with below
&& arguments_.fixedResetDates[j] < referenceDate)
arguments_.fixedPayDates[j] = exerciseDate;
}
for (int j = 0; j < arguments_.fixedResetDates.Count; j++) {
if (withinPreviousWeek(exerciseDate,
arguments_.fixedResetDates[j]))
arguments_.fixedResetDates[j] = exerciseDate;
}
for (int j = 0; j < arguments_.floatingResetDates.Count; j++) {
if (withinPreviousWeek(exerciseDate,
arguments_.floatingResetDates[j]))
arguments_.floatingResetDates[j] = exerciseDate;
}
}
double lastFixedPayment =
dayCounter.yearFraction(referenceDate,
arguments_.fixedPayDates.Last() );
double lastFloatingPayment =
dayCounter.yearFraction(referenceDate,
arguments_.floatingPayDates.Last());
lastPayment_ = Math.Max(lastFixedPayment,lastFloatingPayment);
underlying_ = new DiscretizedSwap(arguments_,
referenceDate,
dayCounter);
}
public DiscretizedSwaption(Swaption.Arguments args,
Date referenceDate,
DayCounter dayCounter)
: base(new DiscretizedSwap(args, referenceDate, dayCounter), args.exercise.type(), new List <double>())
{
arguments_ = args;
exerciseTimes_ = new InitializedList <double>(arguments_.exercise.dates().Count);
for (int i = 0; i < exerciseTimes_.Count; ++i)
{
exerciseTimes_[i] =
dayCounter.yearFraction(referenceDate,
arguments_.exercise.date(i));
}
// Date adjustments can get time vectors out of synch.
// Here, we try and collapse similar dates which could cause
// a mispricing.
for (int i = 0; i < arguments_.exercise.dates().Count; i++)
{
Date exerciseDate = arguments_.exercise.date(i);
for (int j = 0; j < arguments_.fixedPayDates.Count; j++)
{
if (withinNextWeek(exerciseDate,
arguments_.fixedPayDates[j])
// coupons in the future are dealt with below
&& arguments_.fixedResetDates[j] < referenceDate)
{
arguments_.fixedPayDates[j] = exerciseDate;
}
}
for (int j = 0; j < arguments_.fixedResetDates.Count; j++)
{
if (withinPreviousWeek(exerciseDate,
arguments_.fixedResetDates[j]))
{
arguments_.fixedResetDates[j] = exerciseDate;
}
}
for (int j = 0; j < arguments_.floatingResetDates.Count; j++)
{
if (withinPreviousWeek(exerciseDate,
arguments_.floatingResetDates[j]))
{
arguments_.floatingResetDates[j] = exerciseDate;
}
}
}
double lastFixedPayment =
dayCounter.yearFraction(referenceDate,
arguments_.fixedPayDates.Last());
double lastFloatingPayment =
dayCounter.yearFraction(referenceDate,
arguments_.floatingPayDates.Last());
lastPayment_ = Math.Max(lastFixedPayment, lastFloatingPayment);
underlying_ = new DiscretizedSwap(arguments_,
referenceDate,
dayCounter);
}
