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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/discounter.hpp>
#include <ql/models/marketmodels/curvestate.hpp>
#include <ql/models/marketmodels/utilities.hpp>
#include <algorithm>
namespace QuantLib {
MarketModelDiscounter::MarketModelDiscounter(
Time paymentTime,
const std::vector<Time>& rateTimes) {
checkIncreasingTimes(rateTimes);
before_ = std::lower_bound(rateTimes.begin(), rateTimes.end(),
paymentTime) - rateTimes.begin();
// handle the case where the payment is in the last
// period or after the last period
if (before_ > rateTimes.size()-2)
before_ = rateTimes.size()-2;
beforeWeight_=1.0-(paymentTime-rateTimes[before_])/
(rateTimes[before_+1]-rateTimes[before_]);
}
Real MarketModelDiscounter::numeraireBonds(const CurveState& curveState,
Size numeraire) const {
Real preDF = curveState.discountRatio(before_,numeraire);
if (beforeWeight_==1.0)
return preDF;
Real postDF = curveState.discountRatio(before_+1,numeraire);
if (beforeWeight_==0.0)
return postDF;
return std::pow(preDF,beforeWeight_)*std::pow(postDF,1.-beforeWeight_);
}
}
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