public double swaption(Swaption.Arguments arguments,
double fixedRate,
double range,
int intervals)
{
Date settlement = termStructure().link.referenceDate();
DayCounter dayCounter = termStructure().link.dayCounter();
double start = dayCounter.yearFraction(settlement,
arguments.floatingResetDates[0]);
double w = (arguments.type == VanillaSwap.Type.Payer ? 1 : -1);
List <double> fixedPayTimes = new InitializedList <double>(arguments.fixedPayDates.Count);
for (int i = 0; i < fixedPayTimes.Count; ++i)
{
fixedPayTimes[i] =
dayCounter.yearFraction(settlement,
arguments.fixedPayDates[i]);
}
SwaptionPricingFunction function = new SwaptionPricingFunction(a(),
sigma(), b(), eta(), rho(),
w, start,
fixedPayTimes,
fixedRate, this);
double upper = function.mux() + range * function.sigmax();
double lower = function.mux() - range * function.sigmax();
SegmentIntegral integrator = new SegmentIntegral(intervals);
return(arguments.nominal * w * termStructure().link.discount(start) *
integrator.value(function.value, lower, upper));
}
public override void setupArguments(IPricingEngineArguments args)
{
swap_.setupArguments(args);
Swaption.Arguments arguments = args as Swaption.Arguments;
if (arguments == null)
{
throw new ArgumentException("wrong argument type");
}
arguments.swap = swap_;
arguments.settlementType = settlementType_;
arguments.exercise = exercise_;
}
public override void addTimesTo(List <double> times)
{
calculate();
Swaption.Arguments args = new Swaption.Arguments();
swaption_.setupArguments(args);
List <double> swaptionTimes =
new DiscretizedSwaption(args,
termStructure_.link.referenceDate(),
termStructure_.link.dayCounter()).mandatoryTimes();
for (int i = 0; i < swaptionTimes.Count; i++)
{
times.Insert(times.Count, swaptionTimes[i]);
}
}
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);
}
