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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Mark Joshi
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/models/marketmodels/callability/bermudanswaptionexercisevalue.hpp>
#include <ql/models/marketmodels/curvestate.hpp>
#include <ql/models/marketmodels/utilities.hpp>
#include <ql/payoff.hpp>
#include <utility>
namespace QuantLib {
BermudanSwaptionExerciseValue::BermudanSwaptionExerciseValue(
const std::vector<Time>& rateTimes, std::vector<ext::shared_ptr<Payoff> > payoffs)
: numberOfExercises_(rateTimes.empty() ? 0 : rateTimes.size() - 1), rateTimes_(rateTimes),
payoffs_(std::move(payoffs)) {
checkIncreasingTimes(rateTimes);
QL_REQUIRE(numberOfExercises_>0,
"Rate times must contain at least two values");
std::vector<Time> evolveTimes(rateTimes_);
evolveTimes.pop_back();
evolution_ = EvolutionDescription(rateTimes_,evolveTimes);
}
Size BermudanSwaptionExerciseValue::numberOfExercises() const {
return numberOfExercises_;
}
const EvolutionDescription&
BermudanSwaptionExerciseValue::evolution() const {
return evolution_;
}
std::vector<Time>
BermudanSwaptionExerciseValue::possibleCashFlowTimes() const {
return rateTimes_;
}
void BermudanSwaptionExerciseValue::reset() {
currentIndex_=0;
}
void BermudanSwaptionExerciseValue::nextStep(const CurveState& state) {
const Payoff& p = (*payoffs_[currentIndex_]);
Real value = state.coterminalSwapAnnuity(currentIndex_, currentIndex_) *
p(state.coterminalSwapRate(currentIndex_));
// value /= state.discountRatios()[currentIndex_];
value = std::max(value, 0.0);
cf_.timeIndex = currentIndex_;
cf_.amount = value;
++currentIndex_;
}
std::valarray<bool> BermudanSwaptionExerciseValue::isExerciseTime() const {
return std::valarray<bool>(true,numberOfExercises_);
}
MarketModelMultiProduct::CashFlow
BermudanSwaptionExerciseValue::value(const CurveState& ) const {
return cf_;
}
std::unique_ptr<MarketModelExerciseValue>
BermudanSwaptionExerciseValue::clone() const {
return std::unique_ptr<MarketModelExerciseValue>(new BermudanSwaptionExerciseValue(*this));
}
}
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