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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 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/models/marketmodels/callability/triggeredswapexercise.hpp>
#include <ql/models/marketmodels/curvestate.hpp>
#include <ql/models/marketmodels/utilities.hpp>
namespace QuantLib {
TriggeredSwapExercise::TriggeredSwapExercise(
const std::vector<Time>& rateTimes,
const std::vector<Time>& exerciseTimes,
const std::vector<Rate>& strikes)
: rateTimes_(rateTimes), exerciseTimes_(exerciseTimes),
strikes_(strikes), currentStep_(0), 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 TriggeredSwapExercise::numberOfExercises() const {
return exerciseTimes_.size();
}
const EvolutionDescription& TriggeredSwapExercise::evolution() const {
return evolution_;
}
void TriggeredSwapExercise::nextStep(const CurveState&) {
++currentStep_;
}
void TriggeredSwapExercise::reset() {
currentStep_ = 0;
}
std::valarray<bool> TriggeredSwapExercise::isExerciseTime() const {
return std::valarray<bool>(true,numberOfExercises());
}
void TriggeredSwapExercise::values(const CurveState& state,
std::vector<Real>& results) const {
Size swapIndex = rateIndex_[currentStep_-1];
results.resize(1);
results[0] = state.coterminalSwapRate(swapIndex);
}
std::vector<Size> TriggeredSwapExercise::numberOfVariables() const {
return std::vector<Size>(numberOfExercises(), 1);
}
std::vector<Size> TriggeredSwapExercise::numberOfParameters() const {
return std::vector<Size>(numberOfExercises(), 1);
}
bool TriggeredSwapExercise::exercise(
Size,
const std::vector<Real>& parameters,
const std::vector<Real>& variables) const {
return variables[0] >= parameters[0];
}
void TriggeredSwapExercise::guess(Size exerciseIndex,
std::vector<Real>& parameters) const {
parameters.resize(1);
parameters[0] = strikes_.at(exerciseIndex);
}
std::auto_ptr<MarketModelParametricExercise>
TriggeredSwapExercise::clone() const {
return std::auto_ptr<MarketModelParametricExercise>(
new TriggeredSwapExercise(*this));
}
}
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