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
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2007 Ferdinando Ametrano
Copyright (C) 2006, 2007 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.
*/
#ifndef quantlib_evolution_description_hpp
#define quantlib_evolution_description_hpp
#include <ql/types.hpp>
#include <vector>
namespace QuantLib {
//! Market-model evolution description
/*! This class stores:
-# evolutionTimes = the times at which the rates need to be known,
-# rateTimes = the times defining the rates that are to be evolved,
-# relevanceRates = which rates need to be known at each time.
This class is really just a tuple of evolution and rate times;
- there will be n+1 rate times expressing payment and reset
times of forward rates.
- there will be any number of evolution times.
- we also store which part of the rates are relevant for
pricing via relevance rates. The important part for the i-th
step will then range from relevanceRates[i].first to
relevanceRates[i].second. Default values for relevance rates
will be 0 and n.
- example for n = 5:
<pre>
|-----|-----|-----|-----|-----| (size = 6)
t0 t1 t2 t3 t4 t5 rateTimes
f0 f1 f2 f3 f4 forwardRates
d0 d1 d2 d3 d4 d5 discountBonds
d0/d0 d1/d0 d2/d0 d3/d0 d4/d0 d5/d0 discountRatios
sr0 sr1 sr2 sr3 sr4 coterminalSwaps
</pre>
*/
class EvolutionDescription {
// This typedef is used so that gcc 3.3 can parse the
// constructor declaration (not even parenthesizing the
// default argument worked)
typedef std::pair<Size,Size> range;
public:
EvolutionDescription();
explicit EvolutionDescription(
const std::vector<Time>& rateTimes,
const std::vector<Time>& evolutionTimes = std::vector<Time>(),
const std::vector<std::pair<Size,Size> >& relevanceRates =
std::vector<range>());
const std::vector<Time>& rateTimes() const;
const std::vector<Time>& rateTaus() const;
const std::vector<Time>& evolutionTimes() const;
//const Matrix& effectiveStopTimes() const;
const std::vector<Size>& firstAliveRate() const;
const std::vector<std::pair<Size,Size> >& relevanceRates() const;
Size numberOfRates() const;
Size numberOfSteps() const;
private:
Size numberOfRates_;
std::vector<Time> rateTimes_, evolutionTimes_;
std::vector<std::pair<Size,Size> > relevanceRates_;
// convenience variables
std::vector<Time> rateTaus_;
std::vector<Size> firstAliveRate_;
};
// Numeraire functions
/*! Check that there is one numeraire for each evolution time.
Each numeraire must be an index amongst the rate times so it ranges
from 0 to n. Each numeraire must not have expired before the end of
the step.
*/
void checkCompatibility(const EvolutionDescription& evolution,
const std::vector<Size>& numeraires);
bool isInTerminalMeasure(const EvolutionDescription& evolution,
const std::vector<Size>& numeraires);
bool isInMoneyMarketPlusMeasure(const EvolutionDescription& evolution,
const std::vector<Size>& numeraires,
Size offset = 1);
bool isInMoneyMarketMeasure(const EvolutionDescription& evolution,
const std::vector<Size>& numeraires);
//! Terminal measure: the last bond is used as numeraire.
std::vector<Size> terminalMeasure(const EvolutionDescription& evolution);
/*! Offsetted discretely compounded money market account measure:
for each step the offset-th unexpired bond is used as numeraire.
When offset=0 the result is the usual discretely compounded money
market account measure
*/
std::vector<Size> moneyMarketPlusMeasure(const EvolutionDescription&,
Size offset = 1);
/*! Discretely compounded money market account measure:
for each step the first unexpired bond is used as numeraire.
*/
std::vector<Size> moneyMarketMeasure(const EvolutionDescription&);
}
#endif
|
