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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
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/pricingengines/capfloor/treecapfloorengine.hpp>
#include <ql/pricingengines/capfloor/discretizedcapfloor.hpp>
#include <ql/models/shortrate/onefactormodel.hpp>
namespace QuantLib {
TreeCapFloorEngine::TreeCapFloorEngine(
const boost::shared_ptr<ShortRateModel>& model,
Size timeSteps,
const Handle<YieldTermStructure>& termStructure)
: LatticeShortRateModelEngine<CapFloor::arguments,
CapFloor::results >(model, timeSteps),
termStructure_(termStructure) {
registerWith(termStructure_);
}
TreeCapFloorEngine::TreeCapFloorEngine(
const boost::shared_ptr<ShortRateModel>& model,
const TimeGrid& timeGrid,
const Handle<YieldTermStructure>& termStructure)
: LatticeShortRateModelEngine<CapFloor::arguments,
CapFloor::results>(model, timeGrid),
termStructure_(termStructure) {
registerWith(termStructure_);
}
void TreeCapFloorEngine::calculate() const {
QL_REQUIRE(!model_.empty(), "no model specified");
Date referenceDate;
DayCounter dayCounter;
boost::shared_ptr<TermStructureConsistentModel> tsmodel =
boost::dynamic_pointer_cast<TermStructureConsistentModel>(*model_);
if (tsmodel) {
referenceDate = tsmodel->termStructure()->referenceDate();
dayCounter = tsmodel->termStructure()->dayCounter();
} else {
referenceDate = termStructure_->referenceDate();
dayCounter = termStructure_->dayCounter();
}
DiscretizedCapFloor capfloor(arguments_, referenceDate, dayCounter);
boost::shared_ptr<Lattice> lattice;
if (lattice_) {
lattice = lattice_;
} else {
std::vector<Time> times = capfloor.mandatoryTimes();
TimeGrid timeGrid(times.begin(), times.end(), timeSteps_);
lattice = model_->tree(timeGrid);
}
Time firstTime = dayCounter.yearFraction(referenceDate,
arguments_.startDates.front());
Time lastTime = dayCounter.yearFraction(referenceDate,
arguments_.endDates.back());
capfloor.initialize(lattice, lastTime);
capfloor.rollback(firstTime);
results_.value = capfloor.presentValue();
}
}
|
