1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2007 Ferdinando Ametrano
Copyright (C) 2006 Marco Bianchetti
Copyright (C) 2006 Cristina Duminuco
Copyright (C) 2006 Giorgio Facchinetti
Copyright (C) 2006, 2007 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/evolutiondescription.hpp>
#include <ql/models/marketmodels/utilities.hpp>
#include <ql/math/matrix.hpp>
#include <ql/utilities/dataformatters.hpp>
namespace QuantLib {
EvolutionDescription::EvolutionDescription() {}
EvolutionDescription::EvolutionDescription(
const std::vector<Time>& rateTimes,
const std::vector<Time>& evolutionTimes,
const std::vector<std::pair<Size,Size> >& relevanceRates)
: numberOfRates_(rateTimes.empty() ? 0 : rateTimes.size()-1),
rateTimes_(rateTimes),
evolutionTimes_(evolutionTimes.empty() && !rateTimes.empty() ?
std::vector<Time>(rateTimes.begin(), rateTimes.end()-1) :
evolutionTimes),
relevanceRates_(relevanceRates),
rateTaus_(numberOfRates_),
//effStopTime_(evolutionTimes_.size(), rateTimes_.size()-1),
firstAliveRate_(evolutionTimes_.size())
{
checkIncreasingTimesAndCalculateTaus(rateTimes_, rateTaus_);
checkIncreasingTimes(evolutionTimes_);
Size numberOfSteps = evolutionTimes_.size();
QL_REQUIRE(evolutionTimes_.back()<=rateTimes[rateTimes.size()-2],
"The last evolution time (" << evolutionTimes_.back() <<
") is past the last fixing time (" <<
rateTimes[numberOfRates_-2] << ")");
if (relevanceRates.empty())
relevanceRates_ = std::vector<std::pair<Size,Size> >(
numberOfSteps, std::make_pair(0,numberOfRates_));
else
QL_REQUIRE(relevanceRates.size() == numberOfSteps,
"relevanceRates / evolutionTimes mismatch");
//for (Size j=0; j<numberOfSteps; ++j) {
// for (Size i=0; i<numberOfRates_; ++i)
// effStopTime_[j][i] =
// std::min(evolutionTimes_[j], rateTimes_[i]);
//}
Time currentEvolutionTime = 0.0;
Size firstAliveRate = 0;
for (Size j=0; j<numberOfSteps; ++j) {
while (rateTimes_[firstAliveRate] <= currentEvolutionTime)
++firstAliveRate;
firstAliveRate_[j] = firstAliveRate;
currentEvolutionTime = evolutionTimes_[j];
}
}
const std::vector<Time>& EvolutionDescription::rateTimes() const {
return rateTimes_;
}
const std::vector<Time>& EvolutionDescription::rateTaus() const {
return rateTaus_;
}
const std::vector<Time>& EvolutionDescription::evolutionTimes() const {
return evolutionTimes_;
}
//const Matrix& EvolutionDescription::effectiveStopTimes() const {
// return effStopTime_;
//}
const std::vector<Size>& EvolutionDescription::firstAliveRate() const {
return firstAliveRate_;
}
const std::vector<std::pair<Size,Size> >& EvolutionDescription::relevanceRates() const {
return relevanceRates_;
}
Size EvolutionDescription::numberOfRates() const {
return numberOfRates_;
}
Size EvolutionDescription::numberOfSteps() const {
return evolutionTimes_.size();
}
void checkCompatibility(const EvolutionDescription& evolution,
const std::vector<Size>& numeraires)
{
const std::vector<Time>& evolutionTimes = evolution.evolutionTimes();
Size n = evolutionTimes.size();
QL_REQUIRE(numeraires.size() == n,
"Size mismatch between numeraires (" << numeraires.size()
<< ") and evolution times (" << n << ")");
const std::vector<Time>& rateTimes = evolution.rateTimes();
for (Size i=0; i<n-1; i++)
QL_REQUIRE(rateTimes[numeraires[i]] >= evolutionTimes[i],
io::ordinal(i+1) << " step, evolution time " <<
evolutionTimes[i] << ": the numeraire (" << numeraires[i] <<
"), corresponding to rate time " <<
rateTimes[numeraires[i]] << ", is expired");
}
bool isInTerminalMeasure(const EvolutionDescription& evolution,
const std::vector<Size>& numeraires) {
const std::vector<Time>& rateTimes = evolution.rateTimes();
return *std::min_element(numeraires.begin(), numeraires.end()) ==
rateTimes.size()-1;
}
bool isInMoneyMarketPlusMeasure(const EvolutionDescription& evolution,
const std::vector<Size>& numeraires,
Size offset) {
bool res = true;
const std::vector<Time>& rateTimes = evolution.rateTimes();
Size maxNumeraire=rateTimes.size()-1;
QL_REQUIRE(offset<=maxNumeraire,
"offset (" << offset <<
") is greater than the max allowed value for numeraire ("
<< maxNumeraire << ")");
const std::vector<Time>& evolutionTimes = evolution.evolutionTimes();
for (Size i=0, j=0; i<evolutionTimes.size(); ++i) {
while (rateTimes[j] < evolutionTimes[i])
j++;
res = (numeraires[i] == std::min(j+offset, maxNumeraire)) && res;
}
return res;
}
bool isInMoneyMarketMeasure(const EvolutionDescription& evolution,
const std::vector<Size>& numeraires) {
return isInMoneyMarketPlusMeasure(evolution, numeraires, 0);
}
std::vector<Size> terminalMeasure(const EvolutionDescription& evolution)
{
return std::vector<Size>(evolution.evolutionTimes().size(),
evolution.rateTimes().size()-1);
}
std::vector<Size> moneyMarketPlusMeasure(const EvolutionDescription& ev,
Size offset) {
const std::vector<Time>& rateTimes = ev.rateTimes();
Size maxNumeraire = rateTimes.size()-1;
QL_REQUIRE(offset<=maxNumeraire,
"offset (" << offset <<
") is greater than the max allowed value for numeraire ("
<< maxNumeraire << ")");
const std::vector<Time>& evolutionTimes = ev.evolutionTimes();
Size n = evolutionTimes.size();
std::vector<Size> numeraires(n);
for (Size i=0, j=0; i<n; ++i) {
while (rateTimes[j] < evolutionTimes[i])
j++;
numeraires[i] = std::min(j+offset, maxNumeraire);
}
return numeraires;
}
std::vector<Size> moneyMarketMeasure(const EvolutionDescription& evol) {
return moneyMarketPlusMeasure(evol, 0);
}
}
|
