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
120
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 Klaus Spanderen
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.
*/
/*! \file fdhullwhiteswaptionengine.cpp
*/
#include <ql/exercise.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
#include <ql/pricingengines/swaption/fdhullwhiteswaptionengine.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
#include <ql/methods/finitedifferences/solvers/fdmhullwhitesolver.hpp>
#include <ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <boost/scoped_ptr.hpp>
namespace QuantLib {
FdHullWhiteSwaptionEngine::FdHullWhiteSwaptionEngine(
const boost::shared_ptr<HullWhite>& model,
Size tGrid, Size xGrid,
Size dampingSteps, Real invEps,
const FdmSchemeDesc& schemeDesc)
: GenericModelEngine<HullWhite,
Swaption::arguments, Swaption::results>(model),
tGrid_(tGrid),
xGrid_(xGrid),
dampingSteps_(dampingSteps),
invEps_(invEps),
schemeDesc_(schemeDesc) {
}
void FdHullWhiteSwaptionEngine::calculate() const {
// 1. Term structure
const Handle<YieldTermStructure> ts = model_->termStructure();
// 2. Mesher
const DayCounter dc = ts->dayCounter();
const Date referenceDate = ts->referenceDate();
const Time maturity = dc.yearFraction(referenceDate,
arguments_.exercise->lastDate());
const boost::shared_ptr<OrnsteinUhlenbeckProcess> process(
new OrnsteinUhlenbeckProcess(model_->a(), model_->sigma()));
const boost::shared_ptr<Fdm1dMesher> shortRateMesher(
new FdmSimpleProcess1dMesher(xGrid_, process, maturity,1,invEps_));
const boost::shared_ptr<FdmMesher> mesher(
new FdmMesherComposite(shortRateMesher));
// 3. Inner Value Calculator
const std::vector<Date>& exerciseDates = arguments_.exercise->dates();
std::map<Time, Date> t2d;
for (Size i=0; i < exerciseDates.size(); ++i) {
const Time t = dc.yearFraction(referenceDate, exerciseDates[i]);
QL_REQUIRE(t >= 0, "exercise dates must not contain past date");
t2d[t] = exerciseDates[i];
}
const Handle<YieldTermStructure> disTs = model_->termStructure();
const Handle<YieldTermStructure> fwdTs
= arguments_.swap->iborIndex()->forwardingTermStructure();
QL_REQUIRE(fwdTs->dayCounter() == disTs->dayCounter(),
"day counter of forward and discount curve must match");
QL_REQUIRE(fwdTs->referenceDate() == disTs->referenceDate(),
"reference date of forward and discount curve must match");
const boost::shared_ptr<HullWhite> fwdModel(
new HullWhite(fwdTs, model_->a(), model_->sigma()));
const boost::shared_ptr<FdmInnerValueCalculator> calculator(
new FdmAffineModelSwapInnerValue<HullWhite>(
model_.currentLink(), fwdModel,
arguments_.swap, t2d, mesher, 0));
// 4. Step conditions
const boost::shared_ptr<FdmStepConditionComposite> conditions =
FdmStepConditionComposite::vanillaComposite(
DividendSchedule(), arguments_.exercise,
mesher, calculator, referenceDate, dc);
// 5. Boundary conditions
const FdmBoundaryConditionSet boundaries;
// 6. Solver
FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
calculator, maturity,
tGrid_, dampingSteps_ };
const boost::scoped_ptr<FdmHullWhiteSolver> solver(
new FdmHullWhiteSolver(model_, solverDesc, schemeDesc_));
results_.value = solver->valueAt(0.0);
}
}
|
