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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Allen Kuo
Copyright (C) 2021 Ralf Konrad Eckel
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
<https://www.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/experimental/callablebonds/discretizedcallablefixedratebond.hpp>
#include <ql/experimental/callablebonds/treecallablebondengine.hpp>
#include <ql/models/shortrate/onefactormodel.hpp>
#include <utility>
namespace QuantLib {
TreeCallableFixedRateBondEngine::TreeCallableFixedRateBondEngine(
const ext::shared_ptr<ShortRateModel>& model,
const Size timeSteps,
Handle<YieldTermStructure> termStructure)
: LatticeShortRateModelEngine<CallableBond::arguments, CallableBond::results>(model, timeSteps),
termStructure_(std::move(termStructure)) {
registerWith(termStructure_);
}
TreeCallableFixedRateBondEngine::TreeCallableFixedRateBondEngine(
const ext::shared_ptr<ShortRateModel>& model,
const TimeGrid& timeGrid,
Handle<YieldTermStructure> termStructure)
: LatticeShortRateModelEngine<CallableBond::arguments, CallableBond::results>(model, timeGrid),
termStructure_(std::move(termStructure)) {
registerWith(termStructure_);
}
void TreeCallableFixedRateBondEngine::calculate() const {
calculateWithSpread(arguments_.spread);
}
void TreeCallableFixedRateBondEngine::calculateWithSpread(Spread s) const {
QL_REQUIRE(!model_.empty(), "no model specified");
ext::shared_ptr<TermStructureConsistentModel> tsmodel =
ext::dynamic_pointer_cast<TermStructureConsistentModel>(*model_);
Handle<YieldTermStructure> discountCurve =
tsmodel != nullptr ? tsmodel->termStructure() : termStructure_;
DiscretizedCallableFixedRateBond callableBond(arguments_, discountCurve);
ext::shared_ptr<Lattice> lattice;
if (lattice_ != nullptr) {
lattice = lattice_;
} else {
std::vector<Time> times = callableBond.mandatoryTimes();
TimeGrid timeGrid(times.begin(), times.end(), timeSteps_);
lattice = model_->tree(timeGrid);
}
if (s != 0.0) {
auto* sr = dynamic_cast<OneFactorModel::ShortRateTree*>(&(*lattice));
QL_REQUIRE(sr,
"Spread is not supported for trees other than OneFactorModel");
sr->setSpread(s);
}
auto referenceDate = discountCurve->referenceDate();
auto dayCounter = discountCurve->dayCounter();
Time redemptionTime = dayCounter.yearFraction(referenceDate, arguments_.redemptionDate);
callableBond.initialize(lattice, redemptionTime);
callableBond.rollback(0.0);
results_.value = callableBond.presentValue();
DiscountFactor d = discountCurve->discount(arguments_.settlementDate);
results_.settlementValue = results_.value / d;
}
}
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