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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2004, 2007 StatPro Italia srl
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/pricingengines/swap/discretizedswap.hpp>
namespace QuantLib {
DiscretizedSwap::DiscretizedSwap(const VanillaSwap::arguments& args,
const Date& referenceDate,
const DayCounter& dayCounter)
: arguments_(args) {
fixedResetTimes_.resize(args.fixedResetDates.size());
for (Size i=0; i<fixedResetTimes_.size(); ++i)
fixedResetTimes_[i] =
dayCounter.yearFraction(referenceDate,
args.fixedResetDates[i]);
fixedPayTimes_.resize(args.fixedPayDates.size());
for (Size i=0; i<fixedPayTimes_.size(); ++i)
fixedPayTimes_[i] =
dayCounter.yearFraction(referenceDate,
args.fixedPayDates[i]);
floatingResetTimes_.resize(args.floatingResetDates.size());
for (Size i=0; i<floatingResetTimes_.size(); ++i)
floatingResetTimes_[i] =
dayCounter.yearFraction(referenceDate,
args.floatingResetDates[i]);
floatingPayTimes_.resize(args.floatingPayDates.size());
for (Size i=0; i<floatingPayTimes_.size(); ++i)
floatingPayTimes_[i] =
dayCounter.yearFraction(referenceDate,
args.floatingPayDates[i]);
}
void DiscretizedSwap::reset(Size size) {
values_ = Array(size, 0.0);
adjustValues();
}
std::vector<Time> DiscretizedSwap::mandatoryTimes() const {
std::vector<Time> times;
for (Size i=0; i<fixedResetTimes_.size(); i++) {
Time t = fixedResetTimes_[i];
if (t >= 0.0)
times.push_back(t);
}
for (Size i=0; i<fixedPayTimes_.size(); i++) {
Time t = fixedPayTimes_[i];
if (t >= 0.0)
times.push_back(t);
}
for (Size i=0; i<floatingResetTimes_.size(); i++) {
Time t = floatingResetTimes_[i];
if (t >= 0.0)
times.push_back(t);
}
for (Size i=0; i<floatingPayTimes_.size(); i++) {
Time t = floatingPayTimes_[i];
if (t >= 0.0)
times.push_back(t);
}
return times;
}
void DiscretizedSwap::preAdjustValuesImpl() {
// floating payments
for (Size i=0; i<floatingResetTimes_.size(); i++) {
Time t = floatingResetTimes_[i];
if (t >= 0.0 && isOnTime(t)) {
DiscretizedDiscountBond bond;
bond.initialize(method(), floatingPayTimes_[i]);
bond.rollback(time_);
Real nominal = arguments_.nominal;
Time T = arguments_.floatingAccrualTimes[i];
Spread spread = arguments_.floatingSpreads[i];
Real accruedSpread = nominal*T*spread;
for (Size j=0; j<values_.size(); j++) {
Real coupon = nominal * (1.0 - bond.values()[j])
+ accruedSpread * bond.values()[j];
if (arguments_.type == VanillaSwap::Payer)
values_[j] += coupon;
else
values_[j] -= coupon;
}
}
}
// fixed payments
for (Size i=0; i<fixedResetTimes_.size(); i++) {
Time t = fixedResetTimes_[i];
if (t >= 0.0 && isOnTime(t)) {
DiscretizedDiscountBond bond;
bond.initialize(method(), fixedPayTimes_[i]);
bond.rollback(time_);
Real fixedCoupon = arguments_.fixedCoupons[i];
for (Size j=0; j<values_.size(); j++) {
Real coupon = fixedCoupon*bond.values()[j];
if (arguments_.type == VanillaSwap::Payer)
values_[j] -= coupon;
else
values_[j] += coupon;
}
}
}
}
void DiscretizedSwap::postAdjustValuesImpl() {
// fixed coupons whose reset time is in the past won't be managed
// in preAdjustValues()
for (Size i=0; i<fixedPayTimes_.size(); i++) {
Time t = fixedPayTimes_[i];
Time reset = fixedResetTimes_[i];
if (t >= 0.0 && isOnTime(t) && reset < 0.0) {
Real fixedCoupon = arguments_.fixedCoupons[i];
if (arguments_.type==VanillaSwap::Payer)
values_ -= fixedCoupon;
else
values_ += fixedCoupon;
}
}
// the same applies to floating payments whose rate is already fixed
for (Size i=0; i<floatingPayTimes_.size(); i++) {
Time t = floatingPayTimes_[i];
Time reset = floatingResetTimes_[i];
if (t >= 0.0 && isOnTime(t) && reset < 0.0) {
Real currentFloatingCoupon = arguments_.floatingCoupons[i];
QL_REQUIRE(currentFloatingCoupon != Null<Real>(),
"current floating coupon not given");
if (arguments_.type == VanillaSwap::Payer)
values_ += currentFloatingCoupon;
else
values_ -= currentFloatingCoupon;
}
}
}
}
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