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
|
/* -*- 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/callability/swapratetrigger.hpp>
#include <ql/models/marketmodels/utilities.hpp>
#include <utility>
namespace QuantLib {
SwapRateTrigger::SwapRateTrigger(const std::vector<Time>& rateTimes,
std::vector<Rate> swapTriggers,
const std::vector<Time>& exerciseTimes)
: rateTimes_(rateTimes), swapTriggers_(std::move(swapTriggers)), exerciseTimes_(exerciseTimes),
rateIndex_(exerciseTimes.size()) {
checkIncreasingTimes(rateTimes);
QL_REQUIRE(rateTimes.size()>1,
"Rate times must contain at least two values");
checkIncreasingTimes(exerciseTimes);
QL_REQUIRE(swapTriggers_.size()==exerciseTimes_.size(),
"swapTriggers/exerciseTimes mismatch");
Size j = 0;
for (Size i=0; i<exerciseTimes.size(); ++i) {
while (j < rateTimes.size() && rateTimes[j] < exerciseTimes[i])
++j;
rateIndex_[i] = j;
}
}
std::vector<Time> SwapRateTrigger::exerciseTimes() const {
return exerciseTimes_;
}
std::vector<Time> SwapRateTrigger::relevantTimes() const {
return exerciseTimes_;
}
void SwapRateTrigger::reset() {
currentIndex_=0;
}
bool SwapRateTrigger::exercise(const CurveState& currentState) const {
Size rateIndex = rateIndex_[currentIndex_-1];
Rate currentSwapRate =
currentState.coterminalSwapRate(rateIndex);
return swapTriggers_[currentIndex_-1]<currentSwapRate;
}
void SwapRateTrigger::nextStep(const CurveState&) {
++currentIndex_;
}
std::unique_ptr<ExerciseStrategy<CurveState>>
SwapRateTrigger::clone() const {
return std::unique_ptr<ExerciseStrategy<CurveState>>(new SwapRateTrigger(*this));
}
}
|
