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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2005, 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/treeswaptionengine.hpp>
#include <ql/pricingengines/swaption/discretizedswaption.hpp>
namespace QuantLib {
TreeSwaptionEngine::TreeSwaptionEngine(
const boost::shared_ptr<ShortRateModel>& model,
Size timeSteps,
const Handle<YieldTermStructure>& termStructure)
: LatticeShortRateModelEngine<Swaption::arguments,
Swaption::results>(model, timeSteps),
termStructure_(termStructure) {
registerWith(termStructure_);
}
TreeSwaptionEngine::TreeSwaptionEngine(
const boost::shared_ptr<ShortRateModel>& model,
const TimeGrid& timeGrid,
const Handle<YieldTermStructure>& termStructure)
: LatticeShortRateModelEngine<Swaption::arguments,
Swaption::results>(model, timeGrid),
termStructure_(termStructure) {
registerWith(termStructure_);
}
TreeSwaptionEngine::TreeSwaptionEngine(
const Handle<ShortRateModel>& model,
Size timeSteps,
const Handle<YieldTermStructure>& termStructure)
: LatticeShortRateModelEngine<Swaption::arguments,
Swaption::results>(model, timeSteps),
termStructure_(termStructure) {
registerWith(termStructure_);
}
void TreeSwaptionEngine::calculate() const {
QL_REQUIRE(arguments_.settlementType==Settlement::Physical,
"cash-settled swaptions not priced with tree engine");
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();
}
DiscretizedSwaption swaption(arguments_, referenceDate, dayCounter);
boost::shared_ptr<Lattice> lattice;
if (lattice_) {
lattice = lattice_;
} else {
std::vector<Time> times = swaption.mandatoryTimes();
TimeGrid timeGrid(times.begin(), times.end(), timeSteps_);
lattice = model_->tree(timeGrid);
}
std::vector<Time> stoppingTimes(arguments_.exercise->dates().size());
for (Size i=0; i<stoppingTimes.size(); ++i)
stoppingTimes[i] =
dayCounter.yearFraction(referenceDate,
arguments_.exercise->date(i));
swaption.initialize(lattice, stoppingTimes.back());
Time nextExercise =
*std::find_if(stoppingTimes.begin(),
stoppingTimes.end(),
std::bind2nd(std::greater_equal<Time>(), 0.0));
swaption.rollback(nextExercise);
results_.value = swaption.presentValue();
}
}
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