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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2004, 2007 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/pricingengines/swaption/discretizedswaption.hpp>
#include <ql/pricingengines/swap/discretizedswap.hpp>
namespace QuantLib {
namespace {
bool withinPreviousWeek(const Date& d1, const Date& d2) {
return d2 >= d1-7 && d2 <= d1;
}
bool withinNextWeek(const Date& d1, const Date& d2) {
return d2 >= d1 && d2 <= d1+7;
}
}
DiscretizedSwaption::DiscretizedSwaption(const Swaption::arguments& args,
const Date& referenceDate,
const DayCounter& dayCounter)
: DiscretizedOption(boost::shared_ptr<DiscretizedAsset>(),
args.exercise->type(),
std::vector<Time>()),
arguments_(args) {
exerciseTimes_.resize(arguments_.exercise->dates().size());
for (Size i=0; i<exerciseTimes_.size(); ++i)
exerciseTimes_[i] =
dayCounter.yearFraction(referenceDate,
arguments_.exercise->date(i));
// Date adjustments can get time vectors out of synch.
// Here, we try and collapse similar dates which could cause
// a mispricing.
for (Size i=0; i<arguments_.exercise->dates().size(); i++) {
Date exerciseDate = arguments_.exercise->date(i);
for (Size j=0; j<arguments_.fixedPayDates.size(); j++) {
if (withinNextWeek(exerciseDate,
arguments_.fixedPayDates[j])
// coupons in the future are dealt with below
&& arguments_.fixedResetDates[j] < referenceDate)
arguments_.fixedPayDates[j] = exerciseDate;
}
for (Size j=0; j<arguments_.fixedResetDates.size(); j++) {
if (withinPreviousWeek(exerciseDate,
arguments_.fixedResetDates[j]))
arguments_.fixedResetDates[j] = exerciseDate;
}
for (Size j=0; j<arguments_.floatingResetDates.size(); j++) {
if (withinPreviousWeek(exerciseDate,
arguments_.floatingResetDates[j]))
arguments_.floatingResetDates[j] = exerciseDate;
}
}
Time lastFixedPayment =
dayCounter.yearFraction(referenceDate,
arguments_.fixedPayDates.back());
Time lastFloatingPayment =
dayCounter.yearFraction(referenceDate,
arguments_.floatingPayDates.back());
lastPayment_ = std::max(lastFixedPayment,lastFloatingPayment);
underlying_ = boost::shared_ptr<DiscretizedAsset>(
new DiscretizedSwap(arguments_,
referenceDate,
dayCounter));
}
void DiscretizedSwaption::reset(Size size) {
underlying_->initialize(method(), lastPayment_);
DiscretizedOption::reset(size);
}
}
|
