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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 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/pathwisediscounter.hpp>
#include <ql/models/marketmodels/utilities.hpp>
#include <algorithm>
namespace QuantLib
{
MarketModelPathwiseDiscounter::MarketModelPathwiseDiscounter(Time paymentTime,
const std::vector<Time>& rateTimes)
{
checkIncreasingTimes(rateTimes);
numberRates_ = rateTimes.size()-1;
before_ = std::lower_bound(rateTimes.begin(), rateTimes.end(),
paymentTime) - rateTimes.begin();
// handle the case where the payment is in the last
// period or after the last period
if (before_ > rateTimes.size()-2)
before_ = rateTimes.size()-2;
beforeWeight_=1.0-(paymentTime-rateTimes[before_])/
(rateTimes[before_+1]-rateTimes[before_]);
postWeight_ = 1.0 - beforeWeight_;
taus_.resize(numberRates_);
for (Size i=0; i < numberRates_; ++i)
taus_[i] = rateTimes[i+1] - rateTimes[i];
}
void MarketModelPathwiseDiscounter::getFactors(
const Matrix& , // LIBORRates, for all steps
const Matrix& Discounts, // P(t_0, t_j) for j=0,...n for each step
Size currentStep,
std::vector<Real>& factors) const
{
Real preDF = Discounts[currentStep][before_];
Real postDF = Discounts[currentStep][before_+1];
for (Size i=before_+1; i<numberRates_; ++i)
factors[i+1] =0.0;
if (postWeight_==0.0)
{
factors[0] = preDF;
for (Size i=0; i<before_; ++i)
factors[i+1] = -preDF*taus_[i]*Discounts[currentStep][i+1]/Discounts[currentStep][i];
factors[before_+1]=0.0;
return;
}
Real df = preDF * std::pow(postDF/preDF, postWeight_);
factors[0] = df;
for (Size i=0; i<=before_; ++i)
factors[i+1] = -df*taus_[i]*Discounts[currentStep][i+1]/Discounts[currentStep][i];
factors[before_+1] *= postWeight_;
return ;
}
}
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