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<div class="title">BermudanSwaption.cpp</div> </div>
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<p>This example prices a few bermudan swaptions using different short-rate models calibrated to market swaptions.</p>
<div class="fragment"><pre class="fragment"><span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span>
<span class="preprocessor">#include <ql/quantlib.hpp></span>
<span class="preprocessor">#ifdef BOOST_MSVC</span>
<span class="preprocessor"></span><span class="comment">/* Uncomment the following lines to unmask floating-point</span>
<span class="comment"> exceptions. Warning: unpredictable results can arise...</span>
<span class="comment"></span>
<span class="comment"> See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481</span>
<span class="comment"> Is there anyone with a definitive word about this?</span>
<span class="comment">*/</span>
<span class="comment">// #include <float.h></span>
<span class="comment">// namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); }</span>
<span class="preprocessor">#endif</span>
<span class="preprocessor"></span>
<span class="preprocessor">#include <boost/timer.hpp></span>
<span class="preprocessor">#include <iostream></span>
<span class="preprocessor">#include <iomanip></span>
<span class="keyword">using namespace </span>QuantLib;
<span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span>
<span class="preprocessor"></span><span class="keyword">namespace </span>QuantLib {
<a name="a0"></a><a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> sessionId() { <span class="keywordflow">return</span> 0; }
}
<span class="preprocessor">#endif</span>
<span class="preprocessor"></span>
<span class="comment">//Number of swaptions to be calibrated to...</span>
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> numRows = 5;
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> numCols = 5;
<a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> swapLenghts[] = {
1, 2, 3, 4, 5};
<a name="a1"></a><a class="code" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3" title="volatility">Volatility</a> swaptionVols[] = {
0.1490, 0.1340, 0.1228, 0.1189, 0.1148,
0.1290, 0.1201, 0.1146, 0.1108, 0.1040,
0.1149, 0.1112, 0.1070, 0.1010, 0.0957,
0.1047, 0.1021, 0.0980, 0.0951, 0.1270,
0.1000, 0.0950, 0.0900, 0.1230, 0.1160};
<span class="keywordtype">void</span> calibrateModel(
<span class="keyword">const</span> boost::shared_ptr<ShortRateModel>& model,
<span class="keyword">const</span> std::vector<boost::shared_ptr<CalibrationHelper> >& helpers) {
<a name="_a2"></a><a class="code" href="class_quant_lib_1_1_levenberg_marquardt.html" title="Levenberg-Marquardt optimization method.">LevenbergMarquardt</a> om;
model->calibrate(helpers, om,
<a name="_a3"></a><a class="code" href="class_quant_lib_1_1_end_criteria.html" title="Criteria to end optimization process:">EndCriteria</a>(400, 100, 1.0e-8, 1.0e-8, 1.0e-8));
<span class="comment">// Output the implied Black volatilities</span>
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<numRows; i++) {
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> j = numCols - i -1; <span class="comment">// 1x5, 2x4, 3x3, 4x2, 5x1</span>
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> k = i*numCols + j;
<a name="a4"></a><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> npv = helpers[i]->modelValue();
<a class="code" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3" title="volatility">Volatility</a> implied = helpers[i]->impliedVolatility(npv, 1e-4,
1000, 0.05, 0.50);
<a class="code" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3" title="volatility">Volatility</a> diff = implied - swaptionVols[k];
std::cout << i+1 << <span class="stringliteral">"x"</span> << swapLenghts[j]
<< std::setprecision(5) << std::noshowpos
<< <span class="stringliteral">": model "</span> << std::setw(7) << <a name="a5"></a><a class="code" href="group__manips.html#gac402ef7c87f63f7c603ee87210b5750c" title="output volatilities as percentages">io::volatility</a>(implied)
<< <span class="stringliteral">", market "</span> << std::setw(7)
<< <a class="code" href="group__manips.html#gac402ef7c87f63f7c603ee87210b5750c" title="output volatilities as percentages">io::volatility</a>(swaptionVols[k])
<< <span class="stringliteral">" ("</span> << std::setw(7) << std::showpos
<< <a class="code" href="group__manips.html#gac402ef7c87f63f7c603ee87210b5750c" title="output volatilities as percentages">io::volatility</a>(diff) << std::noshowpos << <span class="stringliteral">")\n"</span>;
}
}
<span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* []) {
<span class="keywordflow">try</span> {
boost::timer timer;
std::cout << std::endl;
<a name="_a6"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> todaysDate(15, February, 2002);
<a name="_a7"></a><a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> calendar = <a name="_a8"></a><a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>();
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> settlementDate(19, February, 2002);
<a name="a9"></a><a class="code" href="class_quant_lib_1_1_singleton.html#ab7455b7e1235d292c444095842349291" title="access to the unique instance">Settings::instance</a>().<a name="a10"></a><a class="code" href="class_quant_lib_1_1_settings.html#a95055e9410ed0465a5f30d3ffc90c1d3" title="the date at which pricing is to be performed.">evaluationDate</a>() = todaysDate;
<span class="comment">// flat yield term structure impling 1x5 swap at 5%</span>
boost::shared_ptr<Quote> flatRate(<span class="keyword">new</span> <a name="_a11"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.04875825));
<a name="_a12"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> rhTermStructure(
boost::shared_ptr<FlatForward>(
<span class="keyword">new</span> <a name="_a13"></a><a class="code" href="class_quant_lib_1_1_flat_forward.html" title="Flat interest-rate curve.">FlatForward</a>(settlementDate, <a name="_a14"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(flatRate),
<a name="_a15"></a><a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>())));
<span class="comment">// Define the ATM/OTM/ITM swaps</span>
<a class="code" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> fixedLegFrequency = <a name="a16"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>;
<a class="code" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> fixedLegConvention = <a name="a17"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>;
<a class="code" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> floatingLegConvention = <a name="a18"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>;
<a name="_a19"></a><a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> fixedLegDayCounter = <a name="_a20"></a><a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(Thirty360::European);
<a class="code" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> floatingLegFrequency = <a name="a21"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaad1a5868a1c314bb7f6ab68e2fa182b2d" title="twice a year">Semiannual</a>;
VanillaSwap::Type type = VanillaSwap::Payer;
<a name="a22"></a><a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> dummyFixedRate = 0.03;
boost::shared_ptr<IborIndex> indexSixMonths(<span class="keyword">new</span>
<a name="_a23"></a><a class="code" href="class_quant_lib_1_1_euribor6_m.html" title="6-months Euribor index">Euribor6M</a>(rhTermStructure));
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> startDate = calendar.<a name="a24"></a><a class="code" href="class_quant_lib_1_1_calendar.html#ac47bb82bf7b147cfacf373991c2905ea">advance</a>(settlementDate,1,Years,
floatingLegConvention);
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> maturity = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#ac47bb82bf7b147cfacf373991c2905ea">advance</a>(startDate,5,Years,
floatingLegConvention);
<a name="_a25"></a><a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> fixedSchedule(startDate,maturity,<a name="_a26"></a><a class="code" href="class_quant_lib_1_1_period.html">Period</a>(fixedLegFrequency),
calendar,fixedLegConvention,fixedLegConvention,
<a name="a27"></a><a class="code" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78ae204c9c3e62b1e9a6b60e40cd05256c5">DateGeneration::Forward</a>,<span class="keyword">false</span>);
<a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> floatSchedule(startDate,maturity,<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(floatingLegFrequency),
calendar,floatingLegConvention,floatingLegConvention,
<a class="code" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78ae204c9c3e62b1e9a6b60e40cd05256c5">DateGeneration::Forward</a>,<span class="keyword">false</span>);
boost::shared_ptr<VanillaSwap> swap(<span class="keyword">new</span> <a name="_a28"></a><a class="code" href="class_quant_lib_1_1_vanilla_swap.html" title="Plain-vanilla swap: fix vs floating leg.">VanillaSwap</a>(
type, 1000.0,
fixedSchedule, dummyFixedRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths->dayCounter()));
swap->setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> DiscountingSwapEngine(rhTermStructure)));
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> fixedATMRate = swap->fairRate();
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> fixedOTMRate = fixedATMRate * 1.2;
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> fixedITMRate = fixedATMRate * 0.8;
boost::shared_ptr<VanillaSwap> atmSwap(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_vanilla_swap.html" title="Plain-vanilla swap: fix vs floating leg.">VanillaSwap</a>(
type, 1000.0,
fixedSchedule, fixedATMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths->dayCounter()));
boost::shared_ptr<VanillaSwap> otmSwap(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_vanilla_swap.html" title="Plain-vanilla swap: fix vs floating leg.">VanillaSwap</a>(
type, 1000.0,
fixedSchedule, fixedOTMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths->dayCounter()));
boost::shared_ptr<VanillaSwap> itmSwap(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_vanilla_swap.html" title="Plain-vanilla swap: fix vs floating leg.">VanillaSwap</a>(
type, 1000.0,
fixedSchedule, fixedITMRate, fixedLegDayCounter,
floatSchedule, indexSixMonths, 0.0,
indexSixMonths->dayCounter()));
<span class="comment">// defining the swaptions to be used in model calibration</span>
std::vector<Period> swaptionMaturities;
swaptionMaturities.push_back(<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(1, Years));
swaptionMaturities.push_back(<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(2, Years));
swaptionMaturities.push_back(<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(3, Years));
swaptionMaturities.push_back(<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(4, Years));
swaptionMaturities.push_back(<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(5, Years));
std::vector<boost::shared_ptr<CalibrationHelper> > swaptions;
<span class="comment">// List of times that have to be included in the timegrid</span>
std::list<Time> times;
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i;
<span class="keywordflow">for</span> (i=0; i<numRows; i++) {
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> j = numCols - i -1; <span class="comment">// 1x5, 2x4, 3x3, 4x2, 5x1</span>
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> k = i*numCols + j;
boost::shared_ptr<Quote> vol(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(swaptionVols[k]));
swaptions.push_back(boost::shared_ptr<CalibrationHelper>(<span class="keyword">new</span>
<a name="_a29"></a><a class="code" href="class_quant_lib_1_1_swaption_helper.html" title="calibration helper for ATM swaption">SwaptionHelper</a>(swaptionMaturities[i],
<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(swapLenghts[j], Years),
<a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(vol),
indexSixMonths,
indexSixMonths->tenor(),
indexSixMonths->dayCounter(),
indexSixMonths->dayCounter(),
rhTermStructure)));
swaptions.back()->addTimesTo(times);
}
<span class="comment">// Building time-grid</span>
<a name="_a30"></a><a class="code" href="class_quant_lib_1_1_time_grid.html" title="time grid class">TimeGrid</a> grid(times.begin(), times.end(), 30);
<span class="comment">// defining the models</span>
boost::shared_ptr<G2> modelG2(<span class="keyword">new</span> <a name="_a31"></a><a class="code" href="class_quant_lib_1_1_g2.html" title="Two-additive-factor gaussian model class.">G2</a>(rhTermStructure));
boost::shared_ptr<HullWhite> modelHW(<span class="keyword">new</span> <a name="_a32"></a><a class="code" href="class_quant_lib_1_1_hull_white.html" title="Single-factor Hull-White (extended Vasicek) model class.">HullWhite</a>(rhTermStructure));
boost::shared_ptr<HullWhite> modelHW2(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_hull_white.html" title="Single-factor Hull-White (extended Vasicek) model class.">HullWhite</a>(rhTermStructure));
boost::shared_ptr<BlackKarasinski> modelBK(
<span class="keyword">new</span> <a name="_a33"></a><a class="code" href="class_quant_lib_1_1_black_karasinski.html" title="Standard Black-Karasinski model class.">BlackKarasinski</a>(rhTermStructure));
<span class="comment">// model calibrations</span>
std::cout << <span class="stringliteral">"G2 (analytic formulae) calibration"</span> << std::endl;
<span class="keywordflow">for</span> (i=0; i<swaptions.size(); i++)
swaptions[i]->setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a name="_a34"></a><a class="code" href="class_quant_lib_1_1_g2_swaption_engine.html" title="Swaption priced by means of the Black formula">G2SwaptionEngine</a>(modelG2, 6.0, 16)));
calibrateModel(modelG2, swaptions);
std::cout << <span class="stringliteral">"calibrated to:\n"</span>
<< <span class="stringliteral">"a = "</span> << modelG2->params()[0] << <span class="stringliteral">", "</span>
<< <span class="stringliteral">"sigma = "</span> << modelG2->params()[1] << <span class="stringliteral">"\n"</span>
<< <span class="stringliteral">"b = "</span> << modelG2->params()[2] << <span class="stringliteral">", "</span>
<< <span class="stringliteral">"eta = "</span> << modelG2->params()[3] << <span class="stringliteral">"\n"</span>
<< <span class="stringliteral">"rho = "</span> << modelG2->params()[4]
<< std::endl << std::endl;
std::cout << <span class="stringliteral">"Hull-White (analytic formulae) calibration"</span> << std::endl;
<span class="keywordflow">for</span> (i=0; i<swaptions.size(); i++)
swaptions[i]->setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a name="_a35"></a><a class="code" href="class_quant_lib_1_1_jamshidian_swaption_engine.html" title="Jamshidian swaption engine.">JamshidianSwaptionEngine</a>(modelHW)));
calibrateModel(modelHW, swaptions);
std::cout << <span class="stringliteral">"calibrated to:\n"</span>
<< <span class="stringliteral">"a = "</span> << modelHW->params()[0] << <span class="stringliteral">", "</span>
<< <span class="stringliteral">"sigma = "</span> << modelHW->params()[1]
<< std::endl << std::endl;
std::cout << <span class="stringliteral">"Hull-White (numerical) calibration"</span> << std::endl;
<span class="keywordflow">for</span> (i=0; i<swaptions.size(); i++)
swaptions[i]->setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a name="_a36"></a><a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html" title="Numerical lattice engine for swaptions.">TreeSwaptionEngine</a>(modelHW2, grid)));
calibrateModel(modelHW2, swaptions);
std::cout << <span class="stringliteral">"calibrated to:\n"</span>
<< <span class="stringliteral">"a = "</span> << modelHW2->params()[0] << <span class="stringliteral">", "</span>
<< <span class="stringliteral">"sigma = "</span> << modelHW2->params()[1]
<< std::endl << std::endl;
std::cout << <span class="stringliteral">"Black-Karasinski (numerical) calibration"</span> << std::endl;
<span class="keywordflow">for</span> (i=0; i<swaptions.size(); i++)
swaptions[i]->setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html" title="Numerical lattice engine for swaptions.">TreeSwaptionEngine</a>(modelBK, grid)));
calibrateModel(modelBK, swaptions);
std::cout << <span class="stringliteral">"calibrated to:\n"</span>
<< <span class="stringliteral">"a = "</span> << modelBK->params()[0] << <span class="stringliteral">", "</span>
<< <span class="stringliteral">"sigma = "</span> << modelBK->params()[1]
<< std::endl << std::endl;
<span class="comment">// ATM Bermudan swaption pricing</span>
std::cout << <span class="stringliteral">"Payer bermudan swaption "</span>
<< <span class="stringliteral">"struck at "</span> << <a name="a37"></a><a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedATMRate)
<< <span class="stringliteral">" (ATM)"</span> << std::endl;
std::vector<Date> bermudanDates;
<span class="keyword">const</span> std::vector<boost::shared_ptr<CashFlow> >& leg =
swap->fixedLeg();
<span class="keywordflow">for</span> (i=0; i<leg.size(); i++) {
boost::shared_ptr<Coupon> coupon =
boost::dynamic_pointer_cast<<a name="_a38"></a><a class="code" href="class_quant_lib_1_1_coupon.html" title="coupon accruing over a fixed period">Coupon</a>>(leg[i]);
bermudanDates.push_back(coupon->accrualStartDate());
}
boost::shared_ptr<Exercise> bermudanExercise(
<span class="keyword">new</span> <a name="_a39"></a><a class="code" href="class_quant_lib_1_1_bermudan_exercise.html" title="Bermudan exercise.">BermudanExercise</a>(bermudanDates));
<a name="_a40"></a><a class="code" href="class_quant_lib_1_1_swaption.html" title="Swaption class">Swaption</a> bermudanSwaption(atmSwap, bermudanExercise);
<span class="comment">// Do the pricing for each model</span>
<span class="comment">// G2 price the European swaption here, it should switch to bermudan</span>
bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html" title="Numerical lattice engine for swaptions.">TreeSwaptionEngine</a>(modelG2, 50)));
std::cout << <span class="stringliteral">"G2: "</span> << bermudanSwaption.NPV() << std::endl;
bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html" title="Numerical lattice engine for swaptions.">TreeSwaptionEngine</a>(modelHW, 50)));
std::cout << <span class="stringliteral">"HW: "</span> << bermudanSwaption.NPV() << std::endl;
bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html" title="Numerical lattice engine for swaptions.">TreeSwaptionEngine</a>(modelHW2, 50)));
std::cout << <span class="stringliteral">"HW (num): "</span> << bermudanSwaption.NPV() << std::endl;
bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html" title="Numerical lattice engine for swaptions.">TreeSwaptionEngine</a>(modelBK, 50)));
std::cout << <span class="stringliteral">"BK: "</span> << bermudanSwaption.NPV() << std::endl;
<span class="comment">// OTM Bermudan swaption pricing</span>
std::cout << <span class="stringliteral">"Payer bermudan swaption "</span>
<< <span class="stringliteral">"struck at "</span> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedOTMRate)
<< <span class="stringliteral">" (OTM)"</span> << std::endl;
<a class="code" href="class_quant_lib_1_1_swaption.html" title="Swaption class">Swaption</a> otmBermudanSwaption(otmSwap,bermudanExercise);
<span class="comment">// Do the pricing for each model</span>
otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html" title="Numerical lattice engine for swaptions.">TreeSwaptionEngine</a>(modelG2, 50)));
std::cout << <span class="stringliteral">"G2: "</span> << otmBermudanSwaption.NPV() << std::endl;
otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html" title="Numerical lattice engine for swaptions.">TreeSwaptionEngine</a>(modelHW, 50)));
std::cout << <span class="stringliteral">"HW: "</span> << otmBermudanSwaption.NPV() << std::endl;
otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html" title="Numerical lattice engine for swaptions.">TreeSwaptionEngine</a>(modelHW2, 50)));
std::cout << <span class="stringliteral">"HW (num): "</span> << otmBermudanSwaption.NPV() << std::endl;
otmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html" title="Numerical lattice engine for swaptions.">TreeSwaptionEngine</a>(modelBK, 50)));
std::cout << <span class="stringliteral">"BK: "</span> << otmBermudanSwaption.NPV() << std::endl;
<span class="comment">// ITM Bermudan swaption pricing</span>
std::cout << <span class="stringliteral">"Payer bermudan swaption "</span>
<< <span class="stringliteral">"struck at "</span> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedITMRate)
<< <span class="stringliteral">" (ITM)"</span> << std::endl;
<a class="code" href="class_quant_lib_1_1_swaption.html" title="Swaption class">Swaption</a> itmBermudanSwaption(itmSwap,bermudanExercise);
<span class="comment">// Do the pricing for each model</span>
itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html" title="Numerical lattice engine for swaptions.">TreeSwaptionEngine</a>(modelG2, 50)));
std::cout << <span class="stringliteral">"G2: "</span> << itmBermudanSwaption.NPV() << std::endl;
itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html" title="Numerical lattice engine for swaptions.">TreeSwaptionEngine</a>(modelHW, 50)));
std::cout << <span class="stringliteral">"HW: "</span> << itmBermudanSwaption.NPV() << std::endl;
itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html" title="Numerical lattice engine for swaptions.">TreeSwaptionEngine</a>(modelHW2, 50)));
std::cout << <span class="stringliteral">"HW (num): "</span> << itmBermudanSwaption.NPV() << std::endl;
itmBermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_tree_swaption_engine.html" title="Numerical lattice engine for swaptions.">TreeSwaptionEngine</a>(modelBK, 50)));
std::cout << <span class="stringliteral">"BK: "</span> << itmBermudanSwaption.NPV() << std::endl;
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> seconds = timer.elapsed();
<a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> hours = int(seconds/3600);
seconds -= hours * 3600;
<a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> minutes = int(seconds/60);
seconds -= minutes * 60;
std::cout << <span class="stringliteral">" \nRun completed in "</span>;
<span class="keywordflow">if</span> (hours > 0)
std::cout << hours << <span class="stringliteral">" h "</span>;
<span class="keywordflow">if</span> (hours > 0 || minutes > 0)
std::cout << minutes << <span class="stringliteral">" m "</span>;
std::cout << std::fixed << std::setprecision(0)
<< seconds << <span class="stringliteral">" s\n"</span> << std::endl;
<span class="keywordflow">return</span> 0;
} <span class="keywordflow">catch</span> (std::exception& e) {
std::cerr << e.what() << std::endl;
<span class="keywordflow">return</span> 1;
} <span class="keywordflow">catch</span> (...) {
std::cerr << <span class="stringliteral">"unknown error"</span> << std::endl;
<span class="keywordflow">return</span> 1;
}
}
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