//! \name Protected interface
//{@
//! Return time grid used by Monte Carlo Simulation
virtual TimeGrid timeGrid() const {
Time maturity = endTime_;
if (timeSteps_ != Null<Size>()) {
return TimeGrid(maturity, timeSteps_);
} else if (timeStepsPerYear_ != Null<Size>()) {
Size steps = (Size)std::round(timeStepsPerYear_* maturity);
return TimeGrid(maturity, std::max<Size>(static_cast<std::size_t>(std::round(maturity)), steps));
} else {
QL_FAIL("time steps not specified");
}
}
inline TimeGrid MCVanillaEngine<MC,RNG,S,Inst>::timeGrid() const {
Date lastExerciseDate = this->arguments_.exercise->lastDate();
Time t = process_->time(lastExerciseDate);
if (this->timeSteps_ != Null<Size>()) {
return TimeGrid(t, this->timeSteps_);
} else if (this->timeStepsPerYear_ != Null<Size>()) {
Size steps = static_cast<Size>(this->timeStepsPerYear_*t);
return TimeGrid(t, std::max<Size>(steps, 1));
} else {
QL_FAIL("time steps not specified");
}
}
inline TimeGrid MCVarianceSwapEngine<RNG,S>::timeGrid() const {
Time t = this->process_->time(this->arguments_.maturityDate);
if (timeSteps_ != Null<Size>()) {
return TimeGrid(t, this->timeSteps_);
} else if (timeStepsPerYear_ != Null<Size>()) {
Size steps = static_cast<Size>(timeStepsPerYear_*t);
return TimeGrid(t, std::max<Size>(steps, 1));
} else {
QL_FAIL("time steps not specified");
}
}
inline TimeGrid MCEuropeanBasketEngine<RNG,S>::timeGrid() const {
Time residualTime = processes_->time(
this->arguments_.exercise->lastDate());
if (timeSteps_ != Null<Size>()) {
return TimeGrid(residualTime, timeSteps_);
} else if (timeStepsPerYear_ != Null<Size>()) {
Size steps = static_cast<Size>(timeStepsPerYear_*residualTime);
return TimeGrid(residualTime, std::max<Size>(steps, 1));
} else {
QL_FAIL("time steps not specified");
}
}
TimeGrid MCELSNotionalProtectedEngine::timeGrid() const {
const std::vector<Date> & fixings = this->arguments_.fixingDates;
const Size numberOfFixings = fixings.size();
std::vector<Date> remainfixings;
Date today = Settings::instance().evaluationDate();
for(Size i=0;i<numberOfFixings;++i){
if(fixings[i]>today){
remainfixings.push_back(fixings[i]);
}
}
const Size numberOfRemainFixings = remainfixings.size();
std::vector<Time> fixingTimes;//(numberOfFixings); //이거 내가 추가한건가..?
for (Size i = 0; i < numberOfRemainFixings; ++i) {
//fixingTimes[i] = this->process_->time(fixings[i]);
if(fixings[i]>today){
fixingTimes.push_back(discountTS_->dayCounter().yearFraction(
today, remainfixings[i]));
}
}
const Size numberOfTimeSteps = numberOfRemainFixings;//timeSteps_ != Null<Size>() ? timeSteps_ : timeStepsPerYear_ * static_cast<int>(fixingTimes.back());
//return TimeGrid(fixingTimes.begin(), fixingTimes.end(), numberOfTimeSteps);
return TimeGrid(fixingTimes.begin(), fixingTimes.end(), numberOfTimeSteps);
}
TimeGrid MCEngine::timeGrid() const {
const std::vector<Date> & fixings = this->arguments_.fixingDates;
const Size numberOfFixings = fixings.size();
std::vector<Date> remainfixings;
Date today = Settings::instance().evaluationDate();
for(Size i=0;i<numberOfFixings;++i){
if(fixings[i]>today){
remainfixings.push_back(fixings[i]);
}
}
const Size numberOfRemainFixings = remainfixings.size();
std::vector<Time> fixingTimes;//(numberOfFixings); //이거 내가 추가한건가..?
for (Size i = 0; i < numberOfRemainFixings; ++i) {
//fixingTimes[i] = this->process_->time(fixings[i]);
if(fixings[i]>today){
fixingTimes.push_back(discountTS_->dayCounter().yearFraction(
today, remainfixings[i]));
}
}
return TimeGrid(fixingTimes.begin(), fixingTimes.end(), timeSteps_);
}
BlackScholesLattice<T>::BlackScholesLattice(
const boost::shared_ptr<T>& tree,
Rate riskFreeRate,
Time end,
Size steps)
: TreeLattice1D<BlackScholesLattice<T> >(TimeGrid(end, steps), 2),
tree_(tree), riskFreeRate_(riskFreeRate), dt_(end/steps),
discount_(std::exp(-riskFreeRate*(dt_))) {
pd_ = tree->probability(0, 0, 0);
pu_ = tree->probability(0, 0, 1);
}
inline TimeGrid MCPagodaEngine<RNG,S>::timeGrid() const {
std::vector<Time> fixingTimes;
for (Size i=0; i<arguments_.fixingDates.size(); i++) {
Time t = processes_->time(arguments_.fixingDates[i]);
QL_REQUIRE(t >= 0.0, "seasoned options are not handled");
if (i > 0) {
QL_REQUIRE(t > fixingTimes.back(), "fixing dates not sorted");
}
fixingTimes.push_back(t);
}
return TimeGrid(fixingTimes.begin(), fixingTimes.end());
}
inline TimeGrid MCPathBasketEngine<RNG,S>::timeGrid() const {
const std::vector<Date> & fixings = this->arguments_.fixingDates;
const Size numberOfFixings = fixings.size();
std::vector<Time> fixingTimes(numberOfFixings);
for (Size i = 0; i < numberOfFixings; ++i) {
fixingTimes[i] =
this->process_->time(fixings[i]);
}
const Size numberOfTimeSteps = timeSteps_ != Null<Size>() ? timeSteps_ : timeStepsPerYear_ * fixingTimes.back();
return TimeGrid(fixingTimes.begin(), fixingTimes.end(), numberOfTimeSteps);
}
inline TimeGrid MCDiscreteAveragingAsianEngine<RNG,S>::timeGrid() const {
Date referenceDate = process_->riskFreeRate()->referenceDate();
DayCounter voldc = process_->blackVolatility()->dayCounter();
std::vector<Time> fixingTimes;
Size i;
for (i=0; i<arguments_.fixingDates.size(); i++) {
if (arguments_.fixingDates[i]>=referenceDate) {
Time t = voldc.yearFraction(referenceDate,
arguments_.fixingDates[i]);
fixingTimes.push_back(t);
}
}
return TimeGrid(fixingTimes.begin(), fixingTimes.end());
}
TimeGrid timeGrid() const {
Date referenceDate = model_->termStructure()->referenceDate();
DayCounter dayCounter = model_->termStructure()->dayCounter();
// only add future fixing times...
std::vector<Time> times;
for (Size i=0; i<arguments_.fixingDates.size(); i++) {
if (arguments_.fixingDates[i] > referenceDate)
times.push_back(
dayCounter.yearFraction(referenceDate,
arguments_.fixingDates[i]));
}
// ...and maturity.
times.push_back(
dayCounter.yearFraction(referenceDate,
arguments_.endDates.back()));
return TimeGrid(times.begin(), times.end());
}
