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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013 Peter Caspers
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/models/gaussian1dswaptionengine.hpp>
namespace QuantLib {
void Gaussian1dSwaptionEngine::calculate() const {
QL_REQUIRE(arguments_.settlementType == Settlement::Physical,
"cash-settled swaptions not yet implemented ...");
Date settlement = model_->termStructure()->referenceDate();
if (arguments_.exercise->dates().back() <=
settlement) { // swaption is expired, possibly generated swap is not
// valued
results_.value = 0.0;
return;
}
int idx = static_cast<int>(arguments_.exercise->dates().size()) - 1;
int minIdxAlive = static_cast<int>(
std::upper_bound(arguments_.exercise->dates().begin(),
arguments_.exercise->dates().end(), settlement) -
arguments_.exercise->dates().begin());
VanillaSwap swap = *arguments_.swap;
Option::Type type =
arguments_.type == VanillaSwap::Payer ? Option::Call : Option::Put;
Schedule fixedSchedule = swap.fixedSchedule();
Schedule floatSchedule = swap.floatingSchedule();
Array npv0(2 * integrationPoints_ + 1, 0.0),
npv1(2 * integrationPoints_ + 1, 0.0);
Array z = model_->yGrid(stddevs_, integrationPoints_);
Array p(z.size(), 0.0);
Date expiry1 = Null<Date>(), expiry0;
Time expiry1Time = Null<Real>(), expiry0Time;
do {
if (idx == minIdxAlive - 1)
expiry0 = settlement;
else
expiry0 = arguments_.exercise->dates()[idx];
expiry0Time = std::max(
model_->termStructure()->timeFromReference(expiry0), 0.0);
Size j1 =
std::upper_bound(fixedSchedule.dates().begin(),
fixedSchedule.dates().end(), expiry0 - 1) -
fixedSchedule.dates().begin();
Size k1 =
std::upper_bound(floatSchedule.dates().begin(),
floatSchedule.dates().end(), expiry0 - 1) -
floatSchedule.dates().begin();
for (Size k = 0; k < (expiry0 > settlement ? npv0.size() : 1);
k++) {
Real price = 0.0;
if (expiry1Time != Null<Real>()) {
Array yg = model_->yGrid(stddevs_, integrationPoints_,
expiry1Time, expiry0Time,
expiry0 > settlement ? z[k] : 0.0);
CubicInterpolation payoff0(
z.begin(), z.end(), npv1.begin(),
CubicInterpolation::Spline, true,
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);
for (Size i = 0; i < yg.size(); i++) {
p[i] = payoff0(yg[i], true);
}
CubicInterpolation payoff1(
z.begin(), z.end(), p.begin(),
CubicInterpolation::Spline, true,
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);
for (Size i = 0; i < z.size() - 1; i++) {
price += model_->gaussianShiftedPolynomialIntegral(
0.0, payoff1.cCoefficients()[i],
payoff1.bCoefficients()[i],
payoff1.aCoefficients()[i], p[i], z[i], z[i],
z[i + 1]);
}
if (extrapolatePayoff_) {
if (flatPayoffExtrapolation_) {
price += model_->gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[z.size() - 2],
z[z.size() - 2], z[z.size() - 1], 100.0);
price += model_->gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[0], z[0], -100.0, z[0]);
} else {
if (type == Option::Call)
price +=
model_->gaussianShiftedPolynomialIntegral(
0.0,
payoff1.cCoefficients()[z.size() - 2],
payoff1.bCoefficients()[z.size() - 2],
payoff1.aCoefficients()[z.size() - 2],
p[z.size() - 2], z[z.size() - 2],
z[z.size() - 1], 100.0);
if (type == Option::Put)
price +=
model_->gaussianShiftedPolynomialIntegral(
0.0, payoff1.cCoefficients()[0],
payoff1.bCoefficients()[0],
payoff1.aCoefficients()[0], p[0], z[0],
-100.0, z[0]);
}
}
}
npv0[k] = price;
if (expiry0 > settlement) {
Real floatingLegNpv = 0.0;
for (Size l = k1; l < arguments_.floatingCoupons.size();
l++) {
floatingLegNpv +=
arguments_.nominal *
arguments_.floatingAccrualTimes[l] *
(arguments_.floatingSpreads[l] +
model_->forwardRate(
arguments_.floatingFixingDates[l], expiry0,
z[k], arguments_.swap->iborIndex())) *
model_->zerobond(arguments_.floatingPayDates[l],
expiry0, z[k], discountCurve_);
}
Real fixedLegNpv = 0.0;
for (Size l = j1; l < arguments_.fixedCoupons.size(); l++) {
fixedLegNpv +=
arguments_.fixedCoupons[l] *
model_->zerobond(arguments_.fixedPayDates[l],
expiry0, z[k], discountCurve_);
}
npv0[k] = std::max(npv0[k],
(type == Option::Call ? 1.0 : -1.0) *
(floatingLegNpv - fixedLegNpv) /
model_->numeraire(expiry0Time, z[k],
discountCurve_));
}
}
npv1.swap(npv0);
expiry1 = expiry0;
expiry1Time = expiry0Time;
} while (--idx >= minIdxAlive - 1);
results_.value = npv1[0] * model_->numeraire(0.0, 0.0, discountCurve_);
}
}
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