DiscretizedCallableFixedRateBond::DiscretizedCallableFixedRateBond(
const CallableBond::arguments& args,
const Date& referenceDate,
const DayCounter& dayCounter)
: arguments_(args) {
redemptionTime_ = dayCounter.yearFraction(referenceDate,
args.redemptionDate);
couponTimes_.resize(args.couponDates.size());
for (Size i=0; i<couponTimes_.size(); ++i)
couponTimes_[i] =
dayCounter.yearFraction(referenceDate,
args.couponDates[i]);
callabilityTimes_.resize(args.callabilityDates.size());
for (Size i=0; i<callabilityTimes_.size(); ++i)
callabilityTimes_[i] =
dayCounter.yearFraction(referenceDate,
args.callabilityDates[i]);
// similar to the tree swaption engine, we collapse similar coupon
// and exercise dates to avoid mispricing. Delete if unnecessary.
for (Size i=0; i<callabilityTimes_.size(); i++) {
Time exerciseTime = callabilityTimes_[i];
for (Size j=0; j<couponTimes_.size(); j++) {
if (withinNextWeek(exerciseTime, couponTimes_[j]))
couponTimes_[j] = exerciseTime;
}
}
}
DiscretizedSwaption::DiscretizedSwaption(const Swaption::arguments& args,
const Date& referenceDate,
const DayCounter& dayCounter)
: DiscretizedOption(boost::shared_ptr<DiscretizedAsset>(),
args.exercise->type(),
std::vector<Time>()),
arguments_(args),exerciseIndex_(new std::vector<std::pair<bool, std::pair<Size, Real> > >) {
exerciseTimes_.resize(arguments_.exercise->dates().size());
for (Size i=0; i<exerciseTimes_.size(); ++i)
exerciseTimes_[i] =
dayCounter.yearFraction(referenceDate,
arguments_.exercise->date(i));
// Date adjustments can get time vectors out of synch.
// Here, we try and collapse similar dates which could cause
// a mispricing.
for (Size i=0; i<arguments_.exercise->dates().size(); i++) {
Date exerciseDate = arguments_.exercise->date(i);
for (Size j=0; j<arguments_.fixedPayDates.size(); j++) {
if (withinNextWeek(exerciseDate,
arguments_.fixedPayDates[j])
// coupons in the future are dealt with below
&& arguments_.fixedResetDates[j] < referenceDate)
arguments_.fixedPayDates[j] = exerciseDate;
}
for (Size j=0; j<arguments_.fixedResetDates.size(); j++) {
if (withinPreviousWeek(exerciseDate,
arguments_.fixedResetDates[j]))
arguments_.fixedResetDates[j] = exerciseDate;
}
for (Size j=0; j<arguments_.floatingResetDates.size(); j++) {
if (withinPreviousWeek(exerciseDate,
arguments_.floatingResetDates[j]))
arguments_.floatingResetDates[j] = exerciseDate;
}
}
Time lastFixedPayment =
dayCounter.yearFraction(referenceDate,
arguments_.fixedPayDates.back());
Time lastFloatingPayment =
dayCounter.yearFraction(referenceDate,
arguments_.floatingPayDates.back());
lastPayment_ = std::max(lastFixedPayment,lastFloatingPayment);
underlying_ = boost::shared_ptr<DiscretizedAsset>(
new DiscretizedSwap(arguments_,
referenceDate,
dayCounter));
underlyingAsSwap_ = boost::dynamic_pointer_cast<DiscretizedSwap>(underlying_);
QL_REQUIRE(underlyingAsSwap_ != nullptr, "Underlying must be a DiscreteSwap object.");
}