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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2007 Franois du Vignaud
Copyright (C) 2007 Chiara Fornarola
Copyright (C) 2007 Katiuscia Manzoni
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/correlations/cotswapfromfwdcorrelation.hpp>
#include <ql/models/marketmodels/curvestate.hpp>
#include <ql/models/marketmodels/swapforwardmappings.hpp>
#include <ql/math/matrixutilities/getcovariance.hpp>
namespace QuantLib {
CotSwapFromFwdCorrelation::CotSwapFromFwdCorrelation(
const boost::shared_ptr<PiecewiseConstantCorrelation>& fwdCorr,
const CurveState& curveState,
Spread displacement)
: fwdCorr_(fwdCorr),
numberOfRates_(fwdCorr->numberOfRates()),
swapCorrMatrices_(fwdCorr->correlations().size())
{
QL_REQUIRE(numberOfRates_==curveState.numberOfRates(),
"mismatch between number of rates in fwdCorr (" <<
numberOfRates_ << ") and curveState (" <<
curveState.numberOfRates() << ")");
Matrix zed = SwapForwardMappings::coterminalSwapZedMatrix(
curveState, displacement);
Matrix zedT = transpose(zed);
const std::vector<Matrix>& fwdCorrMatrices = fwdCorr->correlations();
for (Size k = 0; k<fwdCorrMatrices.size(); ++k) {
swapCorrMatrices_[k] = CovarianceDecomposition(
zed * fwdCorrMatrices[k] * zedT).correlationMatrix();
// zero expired rates' correlation coefficients
const std::vector<Time>& rateTimes = curveState.rateTimes();
const std::vector<Time>& corrTimes = fwdCorr_->times();
for (Size i=0; i<numberOfRates_; ++i)
for (Size j=0; j<=i; ++j)
if (corrTimes[k]>rateTimes[j])
swapCorrMatrices_[k][i][j] =
swapCorrMatrices_[k][j][i] = 0.0;
}
}
const std::vector<Time>& CotSwapFromFwdCorrelation::times() const {
return fwdCorr_->times();
}
const std::vector<Time>& CotSwapFromFwdCorrelation::rateTimes() const {
return fwdCorr_->rateTimes();
}
Size CotSwapFromFwdCorrelation::numberOfRates() const {
return numberOfRates_;
}
const std::vector<Matrix>&
CotSwapFromFwdCorrelation::correlations() const {
return swapCorrMatrices_;
}
}
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