//! 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;
}
UpperTriangularIndexPairMatrix UpperTriangleVanillaSwaptionQuotes::get_UpperTriangularSwaptionIndexMatrix() const
{
if(LMM::WARNLMM ())
std::cout<<LMM::WARN_MSG << "UpperTriangleVanillaSwaptionQuotes::get_UpperTriangularSwaptionIndexMatrix() generate matrix copy, DO NOT USE IN A LOOP" << std::endl;
size_t nbRow = upperTriangleVanillaSwaptionQuotes_.size1();
size_t nbCol = upperTriangleVanillaSwaptionQuotes_.size2();
assert(nbRow == nbCol);
UpperTriangularIndexPairMatrix swap_indices_matrix(nbRow,nbCol );
for(size_t k=0;k<nbRow;++k)//not use first row firt column
{
swap_indices_matrix(0,k)=std::pair<size_t,size_t>(-1,-1);
swap_indices_matrix(k,0)=std::pair<size_t,size_t>(-1,-1);
}
for(size_t iExpirity = 1; iExpirity<nbRow; ++iExpirity) // row
{
for(size_t jTenor = 1; jTenor<nbCol-iExpirity; ++jTenor) // col
{
std::pair<size_t,size_t> swap_pair_indice;
const VanillaSwap swap = upperTriangleVanillaSwaptionQuotes_(iExpirity,jTenor).first.getUnderlyingSwap();
swap_pair_indice.first = swap.get_indexStart();
swap_pair_indice.second = swap.get_indexEnd();
swap_indices_matrix(iExpirity,jTenor) = swap_pair_indice;
}
}
return swap_indices_matrix;
}
double LmmVanillaSwapPricer::pvFixedLeg(
const LMM::Index indexValuationDate,
const VanillaSwap & vanillaSwap,
const std::vector<double> & numeraire) const
{
assert(indexValuationDate <= vanillaSwap.get_indexStart()); //YY TODO: this test too slow, esp: within MC simulation
assert(pLMMTenorStructure_->get_horizon() >= vanillaSwap.get_indexEnd()); // if not cannot price this swap;
const double calculatedAnuity = this->annuity(indexValuationDate,vanillaSwap,numeraire);
return vanillaSwap.get_strike()*calculatedAnuity;
}
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;
}
double LmmVanillaSwapPricer::annuity(
const LMM::Index indexValuationDate,
const VanillaSwap & vanillaSwap,
const std::vector<double> & numeraire) const
{
assert(indexValuationDate <= vanillaSwap.get_indexStart()); //YY TODO: this test too slow, esp: within MC simulation
assert(pLMMTenorStructure_->get_horizon() >= vanillaSwap.get_indexEnd()); // if not cannot price this swap;
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*numeraire[indexValuationDate]/numeraire[fixedLegPaymentIndex];
}
return price;
}