OvernightIndexedCoupon::OvernightIndexedCoupon(
const Date& paymentDate,
Real nominal,
const Date& startDate,
const Date& endDate,
const shared_ptr<OvernightIndex>& overnightIndex,
Real gearing,
Spread spread,
const Date& refPeriodStart,
const Date& refPeriodEnd,
const DayCounter& dayCounter)
: FloatingRateCoupon(paymentDate, nominal, startDate, endDate,
overnightIndex->fixingDays(), overnightIndex,
gearing, spread,
refPeriodStart, refPeriodEnd,
dayCounter, false) {
// value dates
Schedule sch = MakeSchedule()
.from(startDate)
.to(endDate)
.withTenor(1*Days)
.withCalendar(overnightIndex->fixingCalendar())
.withConvention(overnightIndex->businessDayConvention())
.backwards();
valueDates_ = sch.dates();
QL_ENSURE(valueDates_.size()>=2, "degenerate schedule");
// fixing dates
n_ = valueDates_.size()-1;
if (overnightIndex->fixingDays()==0) {
fixingDates_ = vector<Date>(valueDates_.begin(),
valueDates_.end()-1);
} else {
fixingDates_.resize(n_);
for (Size i=0; i<n_; ++i)
fixingDates_[i] = overnightIndex->fixingDate(valueDates_[i]);
}
// accrual (compounding) periods
dt_.resize(n_);
const DayCounter& dc = overnightIndex->dayCounter();
for (Size i=0; i<n_; ++i)
dt_[i] = dc.yearFraction(valueDates_[i], valueDates_[i+1]);
setPricer(shared_ptr<FloatingRateCouponPricer>(new
OvernightIndexedCouponPricer));
}
SyntheticCDO::SyntheticCDO (const boost::shared_ptr<Basket> basket,
Protection::Side side,
const Schedule& schedule,
Rate upfrontRate,
Rate runningRate,
const DayCounter& dayCounter,
BusinessDayConvention paymentConvention,
const Handle<YieldTermStructure>& yieldTS)
: basket_(basket),
side_(side),
schedule_(schedule),
upfrontRate_(upfrontRate),
runningRate_(runningRate),
dayCounter_(dayCounter),
paymentConvention_(paymentConvention),
yieldTS_(yieldTS) {
QL_REQUIRE (basket->names().size() > 0, "basket is empty");
registerWith (yieldTS_);
const boost::shared_ptr<Pool> pool = basket->pool();
Date today = Settings::instance().evaluationDate();
// register with probabilities if the corresponding issuer is
// alive under this name contractual conditions
for (Size i = 0; i < basket->names().size(); i++) {
if(!pool->get(basket->names()[i]).
defaultedBetween(schedule.dates()[0],
today,
basket->defaultKeys()[i]))
registerWith(pool->get(basket->names()[i]).
defaultProbability(basket->defaultKeys()[i]));
// To do: the basket could do this last line on its own without so much
// travelling, update its interface? some RR models depend on the
// probabilities and they will be registered with them. Strictly
// speaking the basket does not need directly to be registered
// with the probs.
/*
we used to be registering with Issuers which are not observables. However
this might be what we want: Issuer registration might give us registration
with probabilities and with creditEvents at the same time.
*/
}
// register with recoveries:
registerWith(basket_);
}
CallableBond::CallableBond(Natural settlementDays,
const Schedule& schedule,
const DayCounter& paymentDayCounter,
const Date& issueDate,
const CallabilitySchedule& putCallSchedule)
: Bond(settlementDays, schedule.calendar(), issueDate),
paymentDayCounter_(paymentDayCounter), putCallSchedule_(putCallSchedule) {
maturityDate_ = schedule.dates().back();
if (!putCallSchedule_.empty()) {
Date finalOptionDate = Date::minDate();
for (Size i=0; i<putCallSchedule_.size();++i) {
finalOptionDate=std::max(finalOptionDate,
putCallSchedule_[i]->date());
}
QL_REQUIRE(finalOptionDate <= maturityDate_ ,
"Bond cannot mature before last call/put date");
}
// derived classes must set cashflows_ and frequency_
}
void LgmSwaptionEngineAD::calculate() const {
// collect data needed for core computation routine
QL_REQUIRE(arguments_.settlementType == Settlement::Physical,
"cash-settled swaptions not yet implemented ...");
Date settlement = model_->termStructure()->referenceDate();
if (arguments_.exercise->dates().back() <=
settlement) { // swaption is expired, possibly generated swap is not
// valued
results_.value = 0.0;
return;
}
int idxMax = static_cast<int>(arguments_.exercise->dates().size()) - 1;
int minIdxAlive = static_cast<int>(
std::upper_bound(arguments_.exercise->dates().begin(),
arguments_.exercise->dates().end(), settlement) -
arguments_.exercise->dates().begin());
VanillaSwap swap = *arguments_.swap;
int callput = arguments_.type == VanillaSwap::Payer ? 1 : -1;
Schedule fixedSchedule = swap.fixedSchedule();
Schedule floatSchedule = swap.floatingSchedule();
Date expiry0;
std::vector<int> fix_startidxes, float_startidxes;
std::vector<Date> expiryDates;
for (int idx = minIdxAlive; idx <= idxMax; ++idx) {
expiry0 = arguments_.exercise->dates()[idx];
expiryDates.push_back(expiry0);
Size j1 = std::upper_bound(fixedSchedule.dates().begin(),
fixedSchedule.dates().end(), expiry0 - 1) -
fixedSchedule.dates().begin();
Size k1 = std::upper_bound(floatSchedule.dates().begin(),
floatSchedule.dates().end(), expiry0 - 1) -
floatSchedule.dates().begin();
fix_startidxes.push_back(j1);
float_startidxes.push_back(k1);
}
std::vector<double> float_mults, index_acctimes, float_spreads, fix_cpn;
std::vector<Date> floatt1Dates, floatt2Dates, floattpDates;
std::vector<Date> fixtpDates;
for (Size i = 0; i < arguments_.floatingFixingDates.size(); ++i) {
float_mults.push_back(arguments_.nominal *
arguments_.floatingAccrualTimes[i]);
float_spreads.push_back(arguments_.floatingSpreads[i]);
boost::shared_ptr<IborIndex> index = arguments_.swap->iborIndex();
Date d1 = index->valueDate(arguments_.floatingFixingDates[i]);
Date d2 = index->maturityDate(d1);
double acctime = index->dayCounter().yearFraction(d1, d2, d1, d2);
floatt1Dates.push_back(d1);
floatt2Dates.push_back(d2);
floattpDates.push_back(arguments_.floatingPayDates[i]);
index_acctimes.push_back(acctime);
}
for (Size i = 0; i < arguments_.fixedCoupons.size(); ++i) {
fix_cpn.push_back(arguments_.fixedCoupons[i]);
fixtpDates.push_back(arguments_.fixedPayDates[i]);
}
// join all dates and fill index vectors
std::vector<Date> allDates;
std::vector<double> allTimes; // with settlement as first entry !
std::vector<int> expiries, floatt1s, floatt2s, floattps, fixtps;
std::vector<double> modpar;
allDates.reserve(expiryDates.size() + floatt1Dates.size() +
floatt2Dates.size() + floattpDates.size() +
fixtpDates.size());
allTimes.reserve(allDates.size());
modpar.reserve(3 * allDates.size());
allDates.push_back(settlement);
allDates.insert(allDates.end(), expiryDates.begin(), expiryDates.end());
allDates.insert(allDates.end(), floatt1Dates.begin(), floatt1Dates.end());
allDates.insert(allDates.end(), floatt2Dates.begin(), floatt2Dates.end());
allDates.insert(allDates.end(), floattpDates.begin(), floattpDates.end());
allDates.insert(allDates.end(), fixtpDates.begin(), fixtpDates.end());
std::sort(allDates.begin(), allDates.end());
allDates.erase(unique(allDates.begin(), allDates.end()), allDates.end());
for (Size i = 0; i < allDates.size(); ++i) {
allTimes.push_back(
model_->termStructure()->timeFromReference(allDates[i]));
}
for (Size i = 0; i < allDates.size(); ++i) {
modpar.push_back(model_->parametrization()->H(allTimes[i]));
}
for (Size i = 0; i < allDates.size(); ++i) {
modpar.push_back(model_->parametrization()->zeta(allTimes[i]));
}
for (Size i = 0; i < allDates.size(); ++i) {
modpar.push_back(model_->termStructure()->discount(allTimes[i]));
}
for (Size i = 0; i < expiryDates.size(); ++i) {
expiries.push_back(
std::find(allDates.begin(), allDates.end(), expiryDates[i]) -
allDates.begin());
}
for (Size i = 0; i < floatt1Dates.size(); ++i) {
floatt1s.push_back(
std::find(allDates.begin(), allDates.end(), floatt1Dates[i]) -
allDates.begin());
}
for (Size i = 0; i < floatt2Dates.size(); ++i) {
floatt2s.push_back(
std::find(allDates.begin(), allDates.end(), floatt2Dates[i]) -
allDates.begin());
}
for (Size i = 0; i < floattpDates.size(); ++i) {
floattps.push_back(
std::find(allDates.begin(), allDates.end(), floattpDates[i]) -
allDates.begin());
}
for (Size i = 0; i < fixtpDates.size(); ++i) {
fixtps.push_back(
std::find(allDates.begin(), allDates.end(), fixtpDates[i]) -
allDates.begin());
}
// call core computation routine and set results
int ntimes = allTimes.size();
int nexpiries = expiries.size();
int nfloats = floatt1s.size();
int nfixs = fix_cpn.size();
double res = 0.0;
std::vector<Real> dres(3*ntimes);
int integration_pts = integrationPoints_;
double std_devs = stddevs_;
lgm_swaption_engine_ad_(&ntimes, &allTimes[0], &modpar[0], &nexpiries,
&expiries[0], &callput, &nfloats, &float_startidxes[0],
&float_mults[0], &index_acctimes[0], &float_spreads[0],
&floatt1s[0], &floatt2s[0], &floattps[0],
&fix_startidxes[0], &nfixs, &fix_cpn[0], &fixtps[0],
&integration_pts, &std_devs, &res, &dres[0]);
results_.value = res;
std::vector<Real> H_sensitivity(dres.begin(),dres.begin()+ntimes);
std::vector<Real> zeta_sensitivity(dres.begin()+ntimes,dres.begin()+2*ntimes);
std::vector<Real> discount_sensitivity(dres.begin()+2*ntimes,dres.begin()+3*ntimes);
results_.additionalResults["sensitivityTimes"] = allTimes;
results_.additionalResults["sensitivityH"] = H_sensitivity;
results_.additionalResults["sensitivityZeta"] = zeta_sensitivity;
results_.additionalResults["sensitivityDiscount"] = discount_sensitivity;
}
void Gaussian1dNonstandardSwaptionEngine::calculate() const {
QL_REQUIRE(arguments_.settlementType == Settlement::Physical,
"cash-settled swaptions not yet implemented ...");
Date settlement = model_->termStructure()->referenceDate();
if (arguments_.exercise->dates().back() <=
settlement) { // swaption is expired, possibly generated swap is not
// valued
results_.value = 0.0;
return;
}
boost::shared_ptr<RebatedExercise> rebatedExercise =
boost::dynamic_pointer_cast<RebatedExercise>(arguments_.exercise);
int idx = arguments_.exercise->dates().size() - 1;
int minIdxAlive = static_cast<int>(
std::upper_bound(arguments_.exercise->dates().begin(),
arguments_.exercise->dates().end(), settlement) -
arguments_.exercise->dates().begin());
NonstandardSwap swap = *arguments_.swap;
Option::Type type =
arguments_.type == VanillaSwap::Payer ? Option::Call : Option::Put;
Schedule schedule = swap.fixedSchedule();
Schedule floatSchedule = swap.floatingSchedule();
Array npv0(2 * integrationPoints_ + 1, 0.0),
npv1(2 * integrationPoints_ + 1, 0.0);
Array z = model_->yGrid(stddevs_, integrationPoints_);
Array p(z.size(), 0.0);
// for probability computation
std::vector<Array> npvp0, npvp1;
if (probabilities_ != None) {
for (Size i = 0; i < static_cast<Size>(idx - minIdxAlive + 2); ++i) {
Array npvTmp0(2 * integrationPoints_ + 1, 0.0);
Array npvTmp1(2 * integrationPoints_ + 1, 0.0);
npvp0.push_back(npvTmp0);
npvp1.push_back(npvTmp1);
}
}
// end probabkility computation
Date expiry1 = Null<Date>(), expiry0;
Time expiry1Time = Null<Real>(), expiry0Time;
do {
if (idx == minIdxAlive - 1)
expiry0 = settlement;
else
expiry0 = arguments_.exercise->dates()[idx];
expiry0Time = std::max(
model_->termStructure()->timeFromReference(expiry0), 0.0);
Size j1 = std::upper_bound(schedule.dates().begin(),
schedule.dates().end(), expiry0 - 1) -
schedule.dates().begin();
Size k1 =
std::upper_bound(floatSchedule.dates().begin(),
floatSchedule.dates().end(), expiry0 - 1) -
floatSchedule.dates().begin();
// todo add openmp support later on (as in gaussian1dswaptionengine)
for (Size k = 0; k < (expiry0 > settlement ? npv0.size() : 1);
k++) {
Real price = 0.0;
if (expiry1Time != Null<Real>()) {
Real zSpreadDf =
oas_.empty() ? 1.0
: std::exp(-oas_->value() *
(expiry1Time - expiry0Time));
Array yg = model_->yGrid(stddevs_, integrationPoints_,
expiry1Time, expiry0Time,
expiry0 > settlement ? z[k] : 0.0);
CubicInterpolation payoff0(
z.begin(), z.end(), npv1.begin(),
CubicInterpolation::Spline, true,
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);
for (Size i = 0; i < yg.size(); i++) {
p[i] = payoff0(yg[i], true);
}
CubicInterpolation payoff1(
z.begin(), z.end(), p.begin(),
CubicInterpolation::Spline, true,
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);
for (Size i = 0; i < z.size() - 1; i++) {
price += model_->gaussianShiftedPolynomialIntegral(
0.0, payoff1.cCoefficients()[i],
payoff1.bCoefficients()[i],
payoff1.aCoefficients()[i], p[i], z[i],
z[i], z[i + 1]) *
zSpreadDf;
}
if (extrapolatePayoff_) {
if (flatPayoffExtrapolation_) {
price +=
model_->gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[z.size() - 2],
z[z.size() - 2], z[z.size() - 1], 100.0) *
zSpreadDf;
price += model_->gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[0], z[0], -100.0,
z[0]) *
zSpreadDf;
} else {
if (type == Option::Call)
price +=
model_->gaussianShiftedPolynomialIntegral(
0.0,
payoff1.cCoefficients()[z.size() - 2],
payoff1.bCoefficients()[z.size() - 2],
payoff1.aCoefficients()[z.size() - 2],
p[z.size() - 2], z[z.size() - 2],
z[z.size() - 1], 100.0) *
zSpreadDf;
if (type == Option::Put)
price +=
model_->gaussianShiftedPolynomialIntegral(
0.0, payoff1.cCoefficients()[0],
payoff1.bCoefficients()[0],
payoff1.aCoefficients()[0], p[0], z[0],
-100.0, z[0]) *
zSpreadDf;
}
}
}
npv0[k] = price;
// for probability computation
if (probabilities_ != None) {
for (Size m = 0; m < npvp0.size(); m++) {
Real price = 0.0;
if (expiry1Time != Null<Real>()) {
Real zSpreadDf =
oas_.empty()
? 1.0
: std::exp(-oas_->value() *
(expiry1Time - expiry0Time));
Array yg = model_->yGrid(
stddevs_, integrationPoints_, expiry1Time,
expiry0Time, expiry0 > settlement ? z[k] : 0.0);
CubicInterpolation payoff0(
z.begin(), z.end(), npvp1[m].begin(),
CubicInterpolation::Spline, true,
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);
for (Size i = 0; i < yg.size(); i++) {
p[i] = payoff0(yg[i], true);
}
CubicInterpolation payoff1(
z.begin(), z.end(), p.begin(),
CubicInterpolation::Spline, true,
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);
for (Size i = 0; i < z.size() - 1; i++) {
price +=
model_->gaussianShiftedPolynomialIntegral(
0.0, payoff1.cCoefficients()[i],
payoff1.bCoefficients()[i],
payoff1.aCoefficients()[i], p[i], z[i],
z[i], z[i + 1]) *
zSpreadDf;
}
if (extrapolatePayoff_) {
if (flatPayoffExtrapolation_) {
price +=
model_
->gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0,
p[z.size() - 2],
z[z.size() - 2],
z[z.size() - 1], 100.0) *
zSpreadDf;
price +=
model_
->gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[0],
z[0], -100.0, z[0]) *
zSpreadDf;
} else {
if (type == Option::Call)
price +=
model_
->gaussianShiftedPolynomialIntegral(
0.0,
payoff1.cCoefficients()
[z.size() - 2],
payoff1.bCoefficients()
[z.size() - 2],
payoff1.aCoefficients()
[z.size() - 2],
p[z.size() - 2],
z[z.size() - 2],
z[z.size() - 1], 100.0) *
zSpreadDf;
if (type == Option::Put)
price +=
model_
->gaussianShiftedPolynomialIntegral(
0.0,
payoff1
.cCoefficients()[0],
payoff1
.bCoefficients()[0],
payoff1
.aCoefficients()[0],
p[0], z[0], -100.0,
z[0]) *
zSpreadDf;
}
}
}
npvp0[m][k] = price;
}
}
// end probability computation
if (expiry0 > settlement) {
Real floatingLegNpv = 0.0;
for (Size l = k1; l < arguments_.floatingCoupons.size();
l++) {
Real zSpreadDf =
oas_.empty()
? 1.0
: std::exp(
-oas_->value() *
(model_->termStructure()
->dayCounter()
.yearFraction(
expiry0,
arguments_
.floatingPayDates[l])));
Real amount;
if (arguments_.floatingIsRedemptionFlow[l])
amount = arguments_.floatingCoupons[l];
else
amount = arguments_.floatingNominal[l] *
arguments_.floatingAccrualTimes[l] *
(arguments_.floatingGearings[l] *
model_->forwardRate(
arguments_.floatingFixingDates[l],
expiry0, z[k],
arguments_.swap->iborIndex()) +
arguments_.floatingSpreads[l]);
floatingLegNpv +=
amount *
model_->zerobond(arguments_.floatingPayDates[l],
expiry0, z[k], discountCurve_) *
zSpreadDf;
}
Real fixedLegNpv = 0.0;
for (Size l = j1; l < arguments_.fixedCoupons.size(); l++) {
Real zSpreadDf =
oas_.empty()
? 1.0
: std::exp(
-oas_->value() *
(model_->termStructure()
->dayCounter()
.yearFraction(
expiry0,
arguments_.fixedPayDates[l])));
fixedLegNpv +=
arguments_.fixedCoupons[l] *
model_->zerobond(arguments_.fixedPayDates[l],
expiry0, z[k], discountCurve_) *
zSpreadDf;
}
Real rebate = 0.0;
Real zSpreadDf = 1.0;
Date rebateDate = expiry0;
if (rebatedExercise != NULL) {
rebate = rebatedExercise->rebate(idx);
rebateDate = rebatedExercise->rebatePaymentDate(idx);
zSpreadDf =
oas_.empty()
? 1.0
: std::exp(
-oas_->value() *
(model_->termStructure()
->dayCounter()
.yearFraction(expiry0, rebateDate)));
}
Real exerciseValue =
((type == Option::Call ? 1.0 : -1.0) *
(floatingLegNpv - fixedLegNpv) +
rebate * model_->zerobond(rebateDate, expiry0, z[k],
discountCurve_) *
zSpreadDf) /
model_->numeraire(expiry0Time, z[k], discountCurve_);
// for probability computation
if (probabilities_ != None) {
if (idx == static_cast<int>(
arguments_.exercise->dates().size()) -
1) // if true we are at the latest date,
// so we init
// the no call probability
npvp0.back()[k] =
probabilities_ == Naive
? 1.0
: 1.0 / (model_->zerobond(expiry0Time, 0.0,
0.0,
discountCurve_) *
model_->numeraire(expiry0, z[k],
discountCurve_));
if (exerciseValue >= npv0[k]) {
npvp0[idx - minIdxAlive][k] =
probabilities_ == Naive
? 1.0
: 1.0 /
(model_->zerobond(expiry0Time, 0.0,
0.0,
discountCurve_) *
model_->numeraire(expiry0Time, z[k],
discountCurve_));
for (Size ii = idx - minIdxAlive + 1;
ii < npvp0.size(); ii++)
npvp0[ii][k] = 0.0;
}
}
// end probability computation
npv0[k] = std::max(npv0[k], exerciseValue);
}
}
npv1.swap(npv0);
// for probability computation
if (probabilities_ != None) {
for (Size i = 0; i < npvp0.size(); i++)
npvp1[i].swap(npvp0[i]);
}
// end probability computation
expiry1 = expiry0;
expiry1Time = expiry0Time;
} while (--idx >= minIdxAlive - 1);
results_.value = npv1[0] * model_->numeraire(0.0, 0.0, discountCurve_);
// for probability computation
if (probabilities_ != None) {
std::vector<Real> prob(npvp0.size());
for (Size i = 0; i < npvp0.size(); i++) {
prob[i] = npvp1[i][0] *
(probabilities_ == Naive
? 1.0
: model_->numeraire(0.0, 0.0, discountCurve_));
}
results_.additionalResults["probabilities"] = prob;
}
// end probability computation
}
void Gaussian1dSwaptionEngine::calculate() const {
QL_REQUIRE(arguments_.settlementType == Settlement::Physical,
"cash-settled swaptions not yet implemented ...");
Date settlement = model_->termStructure()->referenceDate();
if (arguments_.exercise->dates().back() <=
settlement) { // swaption is expired, possibly generated swap is not
// valued
results_.value = 0.0;
return;
}
int idx = static_cast<int>(arguments_.exercise->dates().size()) - 1;
int minIdxAlive = static_cast<int>(
std::upper_bound(arguments_.exercise->dates().begin(),
arguments_.exercise->dates().end(), settlement) -
arguments_.exercise->dates().begin());
VanillaSwap swap = *arguments_.swap;
Option::Type type =
arguments_.type == VanillaSwap::Payer ? Option::Call : Option::Put;
Schedule fixedSchedule = swap.fixedSchedule();
Schedule floatSchedule = swap.floatingSchedule();
Array npv0(2 * integrationPoints_ + 1, 0.0),
npv1(2 * integrationPoints_ + 1, 0.0);
Array z = model_->yGrid(stddevs_, integrationPoints_);
Array p(z.size(), 0.0);
Date expiry1 = Null<Date>(), expiry0;
Time expiry1Time = Null<Real>(), expiry0Time;
do {
if (idx == minIdxAlive - 1)
expiry0 = settlement;
else
expiry0 = arguments_.exercise->dates()[idx];
expiry0Time = std::max(
model_->termStructure()->timeFromReference(expiry0), 0.0);
Size j1 =
std::upper_bound(fixedSchedule.dates().begin(),
fixedSchedule.dates().end(), expiry0 - 1) -
fixedSchedule.dates().begin();
Size k1 =
std::upper_bound(floatSchedule.dates().begin(),
floatSchedule.dates().end(), expiry0 - 1) -
floatSchedule.dates().begin();
// a lazy object is not thread safe, neither is the caching
// in gsrprocess. therefore we trigger computations here such
// that neither lazy object recalculation nor write access
// during caching occurs in the parallized loop below.
// this is known to work for the gsr and markov functional
// model implementations of Gaussian1dModel
#ifdef _OPENMP
if (expiry0 > settlement) {
for (Size l = k1; l < arguments_.floatingCoupons.size(); l++) {
model_->forwardRate(arguments_.floatingFixingDates[l],
expiry0, 0.0,
arguments_.swap->iborIndex());
model_->zerobond(arguments_.floatingPayDates[l], expiry0,
0.0, discountCurve_);
}
for (Size l = j1; l < arguments_.fixedCoupons.size(); l++) {
model_->zerobond(arguments_.fixedPayDates[l], expiry0, 0.0,
discountCurve_);
}
model_->numeraire(expiry0Time, 0.0, discountCurve_);
}
#endif
#pragma omp parallel for default(shared) firstprivate(p) if(expiry0>settlement)
for (Size k = 0; k < (expiry0 > settlement ? npv0.size() : 1);
k++) {
Real price = 0.0;
if (expiry1Time != Null<Real>()) {
Array yg = model_->yGrid(stddevs_, integrationPoints_,
expiry1Time, expiry0Time,
expiry0 > settlement ? z[k] : 0.0);
CubicInterpolation payoff0(
z.begin(), z.end(), npv1.begin(),
CubicInterpolation::Spline, true,
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);
for (Size i = 0; i < yg.size(); i++) {
p[i] = payoff0(yg[i], true);
}
CubicInterpolation payoff1(
z.begin(), z.end(), p.begin(),
CubicInterpolation::Spline, true,
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);
for (Size i = 0; i < z.size() - 1; i++) {
price += model_->gaussianShiftedPolynomialIntegral(
0.0, payoff1.cCoefficients()[i],
payoff1.bCoefficients()[i],
payoff1.aCoefficients()[i], p[i], z[i], z[i],
z[i + 1]);
}
if (extrapolatePayoff_) {
if (flatPayoffExtrapolation_) {
price += model_->gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[z.size() - 2],
z[z.size() - 2], z[z.size() - 1], 100.0);
price += model_->gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[0], z[0], -100.0, z[0]);
} else {
if (type == Option::Call)
price +=
model_->gaussianShiftedPolynomialIntegral(
0.0,
payoff1.cCoefficients()[z.size() - 2],
payoff1.bCoefficients()[z.size() - 2],
payoff1.aCoefficients()[z.size() - 2],
p[z.size() - 2], z[z.size() - 2],
z[z.size() - 1], 100.0);
if (type == Option::Put)
price +=
model_->gaussianShiftedPolynomialIntegral(
0.0, payoff1.cCoefficients()[0],
payoff1.bCoefficients()[0],
payoff1.aCoefficients()[0], p[0], z[0],
-100.0, z[0]);
}
}
}
npv0[k] = price;
if (expiry0 > settlement) {
Real floatingLegNpv = 0.0;
for (Size l = k1; l < arguments_.floatingCoupons.size();
l++) {
floatingLegNpv +=
arguments_.nominal *
arguments_.floatingAccrualTimes[l] *
(arguments_.floatingSpreads[l] +
model_->forwardRate(
arguments_.floatingFixingDates[l], expiry0,
z[k], arguments_.swap->iborIndex())) *
model_->zerobond(arguments_.floatingPayDates[l],
expiry0, z[k], discountCurve_);
}
Real fixedLegNpv = 0.0;
for (Size l = j1; l < arguments_.fixedCoupons.size(); l++) {
fixedLegNpv +=
arguments_.fixedCoupons[l] *
model_->zerobond(arguments_.fixedPayDates[l],
expiry0, z[k], discountCurve_);
}
npv0[k] = std::max(npv0[k],
(type == Option::Call ? 1.0 : -1.0) *
(floatingLegNpv - fixedLegNpv) /
model_->numeraire(expiry0Time, z[k],
discountCurve_));
}
}
npv1.swap(npv0);
expiry1 = expiry0;
expiry1Time = expiry0Time;
} while (--idx >= minIdxAlive - 1);
results_.value = npv1[0] * model_->numeraire(0.0, 0.0, discountCurve_);
}