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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Allen Kuo
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/experimental/callablebonds/discretizedcallablefixedratebond.hpp>
namespace QuantLib {
namespace {
bool withinNextWeek(Time t1, Time t2) {
static const Time dt = 1.0/52;
return t1 <= t2 && t2 <= t1+dt;
}
}
DiscretizedCallableFixedRateBond::DiscretizedCallableFixedRateBond(
const CallableBond::arguments& args,
const Date& referenceDate,
const DayCounter& dayCounter)
: arguments_(args) {
redemptionTime_ = dayCounter.yearFraction(referenceDate,
args.redemptionDate);
couponTimes_.resize(args.couponDates.size());
for (Size i=0; i<couponTimes_.size(); ++i)
couponTimes_[i] =
dayCounter.yearFraction(referenceDate,
args.couponDates[i]);
callabilityTimes_.resize(args.callabilityDates.size());
for (Size i=0; i<callabilityTimes_.size(); ++i)
callabilityTimes_[i] =
dayCounter.yearFraction(referenceDate,
args.callabilityDates[i]);
// similar to the tree swaption engine, we collapse similar coupon
// and exercise dates to avoid mispricing. Delete if unnecessary.
for (Size i=0; i<callabilityTimes_.size(); i++) {
Time exerciseTime = callabilityTimes_[i];
for (Size j=0; j<couponTimes_.size(); j++) {
if (withinNextWeek(exerciseTime, couponTimes_[j]))
couponTimes_[j] = exerciseTime;
}
}
}
void DiscretizedCallableFixedRateBond::reset(Size size) {
values_ = Array(size, arguments_.redemption);
adjustValues();
}
std::vector<Time> DiscretizedCallableFixedRateBond::mandatoryTimes() const {
std::vector<Time> times;
Time t;
Size i;
t = redemptionTime_;
if (t >= 0.0) {
times.push_back(t);
}
for (i=0; i<couponTimes_.size(); i++) {
t = couponTimes_[i];
if (t >= 0.0) {
times.push_back(t);
}
}
for (i=0; i<callabilityTimes_.size(); i++) {
t = callabilityTimes_[i];
if (t >= 0.0) {
times.push_back(t);
}
}
return times;
}
void DiscretizedCallableFixedRateBond::preAdjustValuesImpl() { }
void DiscretizedCallableFixedRateBond::postAdjustValuesImpl() {
for (Size i=0; i<callabilityTimes_.size(); i++) {
Time t = callabilityTimes_[i];
if (t >= 0.0 && isOnTime(t)) {
applyCallability(i);
}
}
for (Size i=0; i<couponTimes_.size(); i++) {
Time t = couponTimes_[i];
if (t >= 0.0 && isOnTime(t)) {
addCoupon(i);
}
}
}
void DiscretizedCallableFixedRateBond::applyCallability(Size i) {
Size j;
switch (arguments_.putCallSchedule[i]->type() ) {
case Callability::Call:
for (j=0; j<values_.size(); j++) {
values_[j] =
std::min(arguments_.callabilityPrices[i],
values_[j]);
}
break;
case Callability::Put:
for (j=0; j<values_.size(); j++) {
values_[j] = std::max(values_[j],
arguments_.callabilityPrices[i]);
}
break;
default:
QL_FAIL("unknown callability type");
}
}
void DiscretizedCallableFixedRateBond::addCoupon(Size i) {
values_ += arguments_.couponAmounts[i];
}
}
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