//! Annuity at time 0
double LmmVanillaSwapPricer::annuity0(const VanillaSwap& vanillaSwap,
const std::vector<double>& liborsInitValue) const
{
assert(pLMMTenorStructure_->get_horizon()+1 == liborsInitValue.size());
assert(pLMMTenorStructure_->get_horizon() >= vanillaSwap.get_indexEnd()); // if not cannot price this swap;
size_t horizon = pLMMTenorStructure_->get_horizon();
const double & fixedLegdelta_T = vanillaSwap.get_fixedLegTenorType().YearFraction();
const double & floatingLegdelta_T = vanillaSwap.get_floatingLegTenorType().YearFraction();
//! ZC[i] = P(T_0,T_i)
std::vector<double> ZC(vanillaSwap.get_indexEnd()+1);
ZC[0] = 1.0;
for(size_t i=1; i<ZC.size(); ++i)
{
size_t indexLibor = i-1;
//double deltaT = vanillaSwap.get_DeltaTFloatLeg(indexLibor); // YY bug
double deltaT = floatingLegdelta_T;
ZC[i] = ZC[i-1]/(1+deltaT*liborsInitValue[indexLibor]);
}
double price = 0.0;
const std::vector<LMM::Index>& fixedLegPaymentIndexSchedule = vanillaSwap.get_fixedLegPaymentIndexSchedule();
for(size_t itr = 0; itr < fixedLegPaymentIndexSchedule.size(); ++itr)
{
size_t fixedLegPaymentIndex = fixedLegPaymentIndexSchedule[itr];
double delta_T = vanillaSwap.get_DeltaTFixedLeg(itr);
//std::cout << "numeraire[indexValuationDate]/numeraire[fixedLegPaymentIndex] = " << numeraire[indexValuationDate]/numeraire[fixedLegPaymentIndex] << std::endl;
price += delta_T*ZC[fixedLegPaymentIndex];
}
return price;
}
double LmmVanillaSwapPricer::swapRate_Analytical(const VanillaSwap& vanillaSwap,
const std::vector<double>& liborsInitValue) const
{
assert(pLMMTenorStructure_->get_horizon()+1 == liborsInitValue.size());
assert(pLMMTenorStructure_->get_horizon() >= vanillaSwap.get_indexEnd()); // if not cannot price this swap;
size_t horizon = pLMMTenorStructure_->get_horizon();
const double & fixedLegdelta_T = vanillaSwap.get_fixedLegTenorType().YearFraction();
const double & floatingLegdelta_T = vanillaSwap.get_floatingLegTenorType().YearFraction();
//! ZC[i] = P(T_0,T_i)
std::vector<double> ZC(vanillaSwap.get_indexEnd()+1);
ZC[0] = 1.0;
for(size_t i=1; i<ZC.size(); ++i)
{
size_t indexLibor = i-1;
//double deltaT = vanillaSwap.get_DeltaTFloatLeg(indexLibor); // YY bug
double deltaT = floatingLegdelta_T;
ZC[i] = ZC[i-1]/(1+deltaT*liborsInitValue[indexLibor]);
}
//! pvFloatingLeg: 1 - 1
double pvFloatingLegValue = ZC[vanillaSwap.get_indexStart()] - ZC[vanillaSwap.get_indexEnd()];
//! pvAnnuity
double pvAnnuity = annuity0(vanillaSwap, liborsInitValue);
//! swapRate
return pvFloatingLegValue / pvAnnuity;
}
double LmmVanillaSwapPricer::swapNPV_Analytical_2(const VanillaSwap& vanillaSwap, const std::vector<double>& liborsInitValue) const // initLibor[i] = L_i[T_0]
{
assert(pLMMTenorStructure_->get_horizon()+1 == liborsInitValue.size());
assert(pLMMTenorStructure_->get_horizon() >= vanillaSwap.get_indexEnd()); // if not cannot price this swap;
size_t horizon = pLMMTenorStructure_->get_horizon();
const double & floatingLegdelta_T = vanillaSwap.get_floatingLegTenorType().YearFraction();
const double & fixedLegdelta_T = vanillaSwap.get_fixedLegTenorType().YearFraction();
//! ZC[i] = P(T_0,T_i)
std::vector<double> ZC(horizon+2);
ZC[0] = 1.0;
for(size_t i=1; i<ZC.size(); ++i)
{
ZC[i] = ZC[i-1]/(1+floatingLegdelta_T*liborsInitValue[i-1]);
}
//! numeraire
std::vector<double> numeraire(ZC.size() ); // determinisitc IR
for(size_t i=0; i<ZC.size(); ++i)
{
numeraire[i] = 1.0/ZC[i];
}
//! pvFloatingLeg: 1 - 1
const std::vector<LMM::Index>& floatingLegPaymentIndexSchedule = vanillaSwap.get_floatingLegPaymentIndexSchedule();
//size_t floatingLegTenorLmmTenorRatio = vanillaSwap.get_floatingLegTenorLmmTenorRatio();
LMM::Index indexFloatingLegStart = floatingLegPaymentIndexSchedule.front();
LMM::Index indexFloatingLegEnd = floatingLegPaymentIndexSchedule.back();
double pvFloatingLegValue = ZC[indexFloatingLegStart-1] - ZC[indexFloatingLegEnd];
////! pvFloatingLeg: exact
//double pvFloatingLeg = 0.0;
//const std::vector<LMM::Index>& floatingLegPaymentIndexSchedule = vanillaSwap.get_floatingLegPaymentIndexSchedule();
//for(size_t itr = 0; itr < floatingLegPaymentIndexSchedule.size(); ++itr)
//{
// //! At time T_{i+1}, pay: L_i(T_i)
// size_t floatingLegPaymentIndex = floatingLegPaymentIndexSchedule[itr]; // = i+1
// size_t indexLibor = floatingLegPaymentIndex-1; // =i, because : floatingTenor = lmmTenor
// pvFloatingLeg += floatingLegdelta_T*initLibor[indexLibor]*ZC[floatingLegPaymentIndex];
//}
LMM::Index indexValuationDate = 0;
double pvFixedLegValue = pvFixedLeg(indexValuationDate,vanillaSwap,numeraire);
return pvFloatingLegValue - pvFixedLegValue;
}
void pVGRID(float *xyz)
{
MULTIGRID *mg;
ELEMENT *e;
VERTEX *v;
int i;
mg = GetCurrentMultigrid();
ClearVertexMarkers(mg);
SURFACE_LOOP_BEGIN(mg, e)
for (i = 0; i < CORNERS_OF_ELEM(e); i++) {
v = MYVERTEX(CORNER(e, i));
if (USED(v)) continue;
SETUSED(v, 1);
*xyz++ = XC(v);
*xyz++ = YC(v);
*xyz++ = ZC(v);
}
SURFACE_LOOP_END
}
static INT TecplotCommand (INT argc, char **argv)
{
INT i,j,k,v; /* counters etc. */
INT counter; /* for formatting output */
char item[1024],it[256]; /* item buffers */
INT ic=0; /* item length */
VECTOR *vc; /* a vector pointer */
ELEMENT *el; /* an element pointer */
MULTIGRID *mg; /* our multigrid */
char filename[NAMESIZE]; /* file name for output file */
PFILE *pf; /* the output file pointer */
INT nv; /* number of variables (eval functions) */
EVALUES *ev[MAXVARIABLES]; /* pointers to eval function descriptors */
char ev_name[MAXVARIABLES][NAMESIZE]; /* names for eval functions */
char s[NAMESIZE]; /* name of eval proc */
char zonename[NAMESIZE+7] = ""; /* name for zone (initialized to
empty string) */
INT numNodes; /* number of data points */
INT numElements; /* number of elements */
INT gnumNodes; /* number of data points globally */
INT gnumElements; /* number of elements globallay */
PreprocessingProcPtr pre; /* pointer to prepare function */
ElementEvalProcPtr eval; /* pointer to evaluation function */
DOUBLE *CornersCoord[MAX_CORNERS_OF_ELEM]; /* pointers to coordinates */
DOUBLE LocalCoord[DIM]; /* is one of the corners local coordinates */
DOUBLE local[DIM]; /* local coordinate in DOUBLE */
DOUBLE value; /* returned by user eval proc */
INT oe,on;
INT saveGeometry; /* save geometry flag */
/* get current multigrid */
mg = GetCurrentMultigrid();
if (mg==NULL)
{
PrintErrorMessage('W',"tecplot","no multigrid open\n");
return (OKCODE);
}
/* scan options */
nv = 0; saveGeometry = 0;
for(i=1; i<argc; i++)
{
switch(argv[i][0])
{
case 'e' : /* read eval proc */
if (nv>=MAXVARIABLES)
{
PrintErrorMessage('E',"tecplot","too many variables specified\n");
break;
}
sscanf(argv[i],"e %s", s);
ev[nv] = GetElementValueEvalProc(s);
if (ev[nv]==NULL)
{
PrintErrorMessageF('E',"tecplot","could not find eval proc %s\n",s);
break;
}
if (sscanf(argv[i+1],"s %s", s) == 1)
{
strcpy(ev_name[nv],s);
i++;
}
else
strcpy(ev_name[nv],ev[nv]->v.name);
nv++;
break;
case 'z' :
sscanf(argv[i],"z %s", zonename+3);
memcpy(zonename, "T=\"", 3);
memcpy(zonename+strlen(zonename), "\", \0", 4);
break;
case 'g' :
sscanf(argv[i],"g %d", &saveGeometry);
if (saveGeometry<0) saveGeometry=0;
if (saveGeometry>1) saveGeometry=1;
break;
}
}
if (nv==0) UserWrite("tecplot: no variables given, printing mesh data only\n");
/* get file name and open output file */
if (sscanf(argv[0],expandfmt(CONCAT3(" tecplot %",NAMELENSTR,"[ -~]")),filename)!=1)
{
PrintErrorMessage('E',"tecplot","could not read name of logfile");
return(PARAMERRORCODE);
}
pf = pfile_open(filename);
if (pf==NULL) return(PARAMERRORCODE);
/********************************/
/* TITLE */
/********************************/
ic = 0;
sprintf(it,"TITLE = \"UG TECPLOT OUTPUT\"\n");
strcpy(item+ic,it); ic+=strlen(it);
sprintf(it,"VARIABLES = \"X\", \"Y\"");
strcpy(item+ic,it); ic+=strlen(it);
if (DIM==3) {
sprintf(it,", \"Z\"");
strcpy(item+ic,it); ic+=strlen(it);
}
for (i=0; i<nv; i++) {
sprintf(it,", \"%s\"",ev[i]->v.name);
strcpy(item+ic,it); ic+=strlen(it);
}
sprintf(it,"\n");
strcpy(item+ic,it); ic+=strlen(it);
pfile_master_puts(pf,item); ic=0;
/********************************/
/* compute sizes */
/********************************/
/* clear VCFLAG on all levels */
for (k=0; k<=TOPLEVEL(mg); k++)
for (vc=FIRSTVECTOR(GRID_ON_LEVEL(mg,k)); vc!=NULL; vc=SUCCVC(vc))
SETVCFLAG(vc,0);
/* run thru all levels of elements and set index */
numNodes = numElements = 0;
for (k=0; k<=TOPLEVEL(mg); k++)
for (el=FIRSTELEMENT(GRID_ON_LEVEL(mg,k)); el!=NULL; el=SUCCE(el))
{
if (!EstimateHere(el)) continue; /* process finest level elements only */
numElements++; /* increase element counter */
for (i=0; i<CORNERS_OF_ELEM(el); i++)
{
vc = NVECTOR(CORNER(el,i));
if (VCFLAG(vc)) continue; /* we have this one already */
VINDEX(vc) = ++numNodes; /* number of data points, begins with 1 ! */
SETVCFLAG(vc,1); /* tag vector as visited */
}
}
#ifdef ModelP
gnumNodes = TPL_GlobalSumINT(numNodes);
gnumElements = TPL_GlobalSumINT(numElements);
on=get_offset(numNodes);
oe=get_offset(numElements);
/* clear VCFLAG on all levels */
for (k=0; k<=TOPLEVEL(mg); k++)
for (vc=FIRSTVECTOR(GRID_ON_LEVEL(mg,k)); vc!=NULL; vc=SUCCVC(vc))
SETVCFLAG(vc,0);
/* number in unique way */
for (k=0; k<=TOPLEVEL(mg); k++)
for (el=FIRSTELEMENT(GRID_ON_LEVEL(mg,k)); el!=NULL; el=SUCCE(el))
{
if (!EstimateHere(el)) continue; /* process finest level elements only */
for (i=0; i<CORNERS_OF_ELEM(el); i++)
{
vc = NVECTOR(CORNER(el,i));
if (VCFLAG(vc)) continue; /* we have this one already */
VINDEX(vc) += on; /* add offset */
SETVCFLAG(vc,1); /* tag vector as visited */
}
}
#else
gnumNodes = numNodes;
gnumElements = numElements;
oe=on=0;
#endif
/********************************/
/* write ZONE data */
/* uses FEPOINT for data */
/* uses QUADRILATERAL in 2D */
/* and BRICK in 3D */
/********************************/
/* write zone record header */
if (DIM==2) sprintf(it,"ZONE %sN=%d, E=%d, F=FEPOINT, ET=QUADRILATERAL\n", zonename, gnumNodes,gnumElements);
if (DIM==3) sprintf(it,"ZONE %sN=%d, E=%d, F=FEPOINT, ET=BRICK\n", zonename, gnumNodes,gnumElements);
strcpy(item+ic,it); ic+=strlen(it);
pfile_master_puts(pf,item); ic=0;
/* write data in FEPOINT format, i.e. all variables of a node per line*/
for (k=0; k<=TOPLEVEL(mg); k++)
for (vc=FIRSTVECTOR(GRID_ON_LEVEL(mg,k)); vc!=NULL; vc=SUCCVC(vc))
SETVCFLAG(vc,0); /* clear all flags */
counter=0;
for (k=0; k<=TOPLEVEL(mg); k++)
for (el=FIRSTELEMENT(GRID_ON_LEVEL(mg,k)); el!=NULL; el=SUCCE(el))
{
if (!EstimateHere(el)) continue; /* process finest level elements only */
for (i=0; i<CORNERS_OF_ELEM(el); i++)
CornersCoord[i] = CVECT(MYVERTEX(CORNER(el,i))); /* x,y,z of corners */
for (i=0; i<CORNERS_OF_ELEM(el); i++)
{
vc = NVECTOR(CORNER(el,i));
if (VCFLAG(vc)) continue; /* we have this one alre ady */
SETVCFLAG(vc,1); /* tag vector as visited */
sprintf(it,"%g",(double)XC(MYVERTEX(CORNER(el,i))));
strcpy(item+ic,it); ic+=strlen(it);
sprintf(it," %g",(double)YC(MYVERTEX(CORNER(el,i))));
strcpy(item+ic,it); ic+=strlen(it);
if (DIM == 3)
{
sprintf(it," %g",(double)ZC(MYVERTEX(CORNER(el,i))));
strcpy(item+ic,it); ic+=strlen(it);
}
/* now all the user variables */
/* get local coordinate of corner */
LocalCornerCoordinates(DIM,TAG(el),i,local);
for (j=0; j<DIM; j++) LocalCoord[j] = local[j];
for (v=0; v<nv; v++)
{
pre = ev[v]->PreprocessProc;
eval = ev[v]->EvalProc;
/* execute prepare function */
/* This is not really equivalent to
the FEBLOCK-version sinc we call "pre" more
often than there. D.Werner */
if (pre!=NULL) pre(ev_name[v],mg);
/* call eval function */
value = eval(el,(const DOUBLE **)CornersCoord,LocalCoord);
sprintf(it," %g",value);
strcpy(item+ic,it); ic+=strlen(it);
}
sprintf(it,"\n");
strcpy(item+ic,it); ic+=strlen(it);
pfile_tagged_puts(pf,item,counter+on); ic=0;
counter++;
}
}
pfile_sync(pf); /* end of segment */
sprintf(it,"\n");
strcpy(item+ic,it); ic+=strlen(it);
pfile_master_puts(pf,item); ic=0;
/* finally write the connectivity list */
counter=0;
for (k=0; k<=TOPLEVEL(mg); k++)
for (el=FIRSTELEMENT(GRID_ON_LEVEL(mg,k)); el!=NULL; el=SUCCE(el))
{
if (!EstimateHere(el)) continue; /* process finest level elements only */
switch(DIM) {
case 2 :
switch(TAG(el)) {
case TRIANGLE :
sprintf(it,"%d %d %d %d\n",
VINDEX(NVECTOR(CORNER(el,0))),
VINDEX(NVECTOR(CORNER(el,1))),
VINDEX(NVECTOR(CORNER(el,2))),
VINDEX(NVECTOR(CORNER(el,2)))
);
break;
case QUADRILATERAL :
sprintf(it,"%d %d %d %d\n",
VINDEX(NVECTOR(CORNER(el,0))),
VINDEX(NVECTOR(CORNER(el,1))),
VINDEX(NVECTOR(CORNER(el,2))),
VINDEX(NVECTOR(CORNER(el,3)))
);
break;
default :
UserWriteF("tecplot: unknown 2D element type with tag(el) = %d detected. Aborting further processing of command tecplot\n", TAG(el));
return CMDERRORCODE;
break;
}
break;
case 3 :
switch(TAG(el)) {
case HEXAHEDRON :
sprintf(it,"%d %d %d %d "
"%d %d %d %d\n",
VINDEX(NVECTOR(CORNER(el,0))),
VINDEX(NVECTOR(CORNER(el,1))),
VINDEX(NVECTOR(CORNER(el,2))),
VINDEX(NVECTOR(CORNER(el,3))),
VINDEX(NVECTOR(CORNER(el,4))),
VINDEX(NVECTOR(CORNER(el,5))),
VINDEX(NVECTOR(CORNER(el,6))),
VINDEX(NVECTOR(CORNER(el,7)))
);
break;
case TETRAHEDRON :
sprintf(it,"%d %d %d %d "
"%d %d %d %d\n",
VINDEX(NVECTOR(CORNER(el,0))),
VINDEX(NVECTOR(CORNER(el,1))),
VINDEX(NVECTOR(CORNER(el,2))),
VINDEX(NVECTOR(CORNER(el,2))),
VINDEX(NVECTOR(CORNER(el,3))),
VINDEX(NVECTOR(CORNER(el,3))),
VINDEX(NVECTOR(CORNER(el,3))),
VINDEX(NVECTOR(CORNER(el,3)))
);
break;
case PYRAMID :
sprintf(it,"%d %d %d %d "
"%d %d %d %d\n",
VINDEX(NVECTOR(CORNER(el,0))),
VINDEX(NVECTOR(CORNER(el,1))),
VINDEX(NVECTOR(CORNER(el,2))),
VINDEX(NVECTOR(CORNER(el,3))),
VINDEX(NVECTOR(CORNER(el,4))),
VINDEX(NVECTOR(CORNER(el,4))),
VINDEX(NVECTOR(CORNER(el,4))),
VINDEX(NVECTOR(CORNER(el,4)))
);
break;
case PRISM :
sprintf(it,"%d %d %d %d "
"%d %d %d %d\n",
VINDEX(NVECTOR(CORNER(el,0))),
VINDEX(NVECTOR(CORNER(el,1))),
VINDEX(NVECTOR(CORNER(el,2))),
VINDEX(NVECTOR(CORNER(el,2))),
VINDEX(NVECTOR(CORNER(el,3))),
VINDEX(NVECTOR(CORNER(el,4))),
VINDEX(NVECTOR(CORNER(el,5))),
VINDEX(NVECTOR(CORNER(el,5)))
);
break;
default :
UserWriteF("tecplot: unknown 3D element type with tag(el) = %d detected. Aborting further processing of command tecplot\n", TAG(el));
return CMDERRORCODE;
break;
}
break;
}
strcpy(item+ic,it); ic+=strlen(it);
pfile_tagged_puts(pf,item,counter+oe); ic=0;
counter++;
}
pfile_sync(pf); /* end of segment */
/********************************/
/* GEOMETRY */
/* we will do this later, since */
/* domain interface will change */
/********************************/
pfile_close(pf);
return(OKCODE);
}
