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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Mark Joshi
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/models/marketmodels/accountingengine.hpp>
#include <ql/models/marketmodels/discounter.hpp>
#include <ql/models/marketmodels/evolver.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
#include <ql/models/marketmodels/curvestate.hpp>
#include <algorithm>
namespace QuantLib {
AccountingEngine::AccountingEngine(
const boost::shared_ptr<MarketModelEvolver>& evolver,
const Clone<MarketModelMultiProduct>& product,
Real initialNumeraireValue)
: evolver_(evolver), product_(product),
initialNumeraireValue_(initialNumeraireValue),
numberProducts_(product->numberOfProducts()),
numerairesHeld_(product->numberOfProducts()),
numberCashFlowsThisStep_(product->numberOfProducts()),
cashFlowsGenerated_(product->numberOfProducts()) {
for (Size i=0; i<numberProducts_; ++i)
cashFlowsGenerated_[i].resize(
product_->maxNumberOfCashFlowsPerProductPerStep());
const std::vector<Time>& cashFlowTimes =
product_->possibleCashFlowTimes();
const std::vector<Rate>& rateTimes = product_->evolution().rateTimes();
discounters_.reserve(cashFlowTimes.size());
for (Size j=0; j<cashFlowTimes.size(); ++j)
discounters_.push_back(MarketModelDiscounter(cashFlowTimes[j],
rateTimes));
}
Real AccountingEngine::singlePathValues(std::vector<Real>& values) {
std::fill(numerairesHeld_.begin(), numerairesHeld_.end(), 0.0);
Real weight = evolver_->startNewPath();
product_->reset();
Real principalInNumerairePortfolio = 1.0;
bool done = false;
do {
Size thisStep = evolver_->currentStep();
weight *= evolver_->advanceStep();
done = product_->nextTimeStep(evolver_->currentState(),
numberCashFlowsThisStep_,
cashFlowsGenerated_);
Size numeraire =
evolver_->numeraires()[thisStep];
// for each product...
for (Size i=0; i<numberProducts_; ++i) {
// ...and each cash flow...
const std::vector<MarketModelMultiProduct::CashFlow>& cashflows =
cashFlowsGenerated_[i];
for (Size j=0; j<numberCashFlowsThisStep_[i]; ++j) {
// ...convert the cash flow to numeraires.
// This is done by calculating the number of
// numeraire bonds corresponding to such cash flow...
const MarketModelDiscounter& discounter =
discounters_[cashflows[j].timeIndex];
Real bonds = cashflows[j].amount *
discounter.numeraireBonds(evolver_->currentState(),
numeraire);
// ...and adding the newly bought bonds to the number
// of numeraires held.
numerairesHeld_[i] += bonds/principalInNumerairePortfolio;
}
}
if (!done) {
// The numeraire might change between steps. This implies
// that we might have to convert the numeraire bonds for
// this step into a corresponding amount of numeraire
// bonds for the next step. This can be done by changing
// the principal of the numeraire and updating the number
// of bonds in the numeraire portfolio accordingly.
Size nextNumeraire = evolver_->numeraires()[thisStep+1];
principalInNumerairePortfolio *=
evolver_->currentState().discountRatio(numeraire,
nextNumeraire);
}
} while (!done);
for (Size i=0; i<numerairesHeld_.size(); ++i)
values[i] = numerairesHeld_[i] * initialNumeraireValue_;
return weight;
}
void AccountingEngine::multiplePathValues(SequenceStatisticsInc& stats,
Size numberOfPaths)
{
std::vector<Real> values(product_->numberOfProducts());
for (Size i=0; i<numberOfPaths; ++i) {
Real weight = singlePathValues(values);
stats.add(values,weight);
}
}
}
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