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/* -*- 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
<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/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>
namespace QuantLib {
FdHullWhiteSwaptionEngine::FdHullWhiteSwaptionEngine(
const ext::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 {
QL_REQUIRE(!model_.empty(), "no model specified");
// 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());
auto process = ext::make_shared<OrnsteinUhlenbeckProcess>(model_->a(), model_->sigma());
auto shortRateMesher = ext::make_shared<FdmSimpleProcess1dMesher>(xGrid_, process, maturity, 1, invEps_);
auto mesher = ext::make_shared<FdmMesherComposite>(shortRateMesher);
// 3. Inner Value Calculator
const std::vector<Date>& exerciseDates = arguments_.exercise->dates();
std::map<Time, Date> t2d;
for (auto exerciseDate : exerciseDates) {
const Time t = dc.yearFraction(referenceDate, exerciseDate);
QL_REQUIRE(t >= 0, "exercise dates must not contain past date");
t2d[t] = exerciseDate;
}
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");
auto fwdModel = ext::make_shared<HullWhite>(fwdTs, model_->a(), model_->sigma());
auto calculator = ext::make_shared<FdmAffineModelSwapInnerValue<HullWhite>>(
model_.currentLink(), fwdModel,
arguments_.swap, t2d, mesher, 0);
// 4. Step conditions
auto 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_ };
FdmHullWhiteSolver solver(model_, solverDesc, schemeDesc_);
results_.value = solver.valueAt(0.0);
}
}
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