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/* -*- 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/swapbasissystem.hpp>
#include <ql/models/marketmodels/curvestate.hpp>
#include <ql/models/marketmodels/utilities.hpp>
namespace QuantLib {
SwapBasisSystem::SwapBasisSystem(const std::vector<Time>& rateTimes,
const std::vector<Time>& exerciseTimes)
: rateTimes_(rateTimes), exerciseTimes_(exerciseTimes),
rateIndex_(exerciseTimes.size()),
evolution_(rateTimes, exerciseTimes) {
Size j = 0;
for (Size i=0; i<exerciseTimes.size(); ++i) {
while (j < rateTimes.size() && rateTimes[j] < exerciseTimes[i])
++j;
rateIndex_[i] = j;
}
}
Size SwapBasisSystem::numberOfExercises() const {
return exerciseTimes_.size();
}
std::vector<Size> SwapBasisSystem::numberOfFunctions() const {
std::vector<Size> sizes(exerciseTimes_.size(), 3);
if (rateIndex_[exerciseTimes_.size()-1] == rateTimes_.size()-2)
sizes.back() = 2;
return sizes;
}
const EvolutionDescription& SwapBasisSystem::evolution() const {
return evolution_;
}
void SwapBasisSystem::nextStep(const CurveState&) {
++currentIndex_;
}
void SwapBasisSystem::reset() {
currentIndex_ = 0;
}
std::valarray<bool> SwapBasisSystem::isExerciseTime() const {
return std::valarray<bool>(true, exerciseTimes_.size());
}
void SwapBasisSystem::values(const CurveState& currentState,
std::vector<Real>& results) const {
Size rateIndex = rateIndex_[currentIndex_-1];
results.reserve(3);
results.resize(2);
results[0] = 1.0;
results[1] = currentState.forwardRate(rateIndex);
if (rateIndex < rateTimes_.size()-2)
results.push_back(currentState.coterminalSwapRate(rateIndex+1));
}
std::auto_ptr<MarketModelBasisSystem> SwapBasisSystem::clone() const {
return std::auto_ptr<MarketModelBasisSystem>(
new SwapBasisSystem(*this));
}
}
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