void Initiate_UpperTriangularDoubleMatrixConstantDiagonal(UpperTriangularDoubleMatrix& upper_matrix, double increment)
{
const size_t matrix_size = upper_matrix.size1();
assert( matrix_size == upper_matrix.size2());
size_t nbSubDiagonal = matrix_size-2;
size_t nbElement = nbSubDiagonal*(nbSubDiagonal+1)/2;
const double max_value = increment*matrix_size;
double diag_value = max_value;
size_t element_counter=0;
for(size_t iDiag=0;iDiag<nbSubDiagonal;++iDiag)
{
size_t nbElementOnDiag = iDiag+1;
for(size_t iElementOnDiag=0;iElementOnDiag<nbElementOnDiag;++iElementOnDiag)
{
size_t iRow = nbElementOnDiag-iElementOnDiag;
size_t jCol = (nbElementOnDiag+1)-iRow;
upper_matrix(iRow,jCol) = diag_value;
++element_counter;
}
diag_value -= increment;
}
assert(element_counter == nbElement);
}
UpperTriangleVanillaSwaptionQuotes::UpperTriangleVanillaSwaptionQuotes(
LMMTenorStructure_PTR lmmTenorStructure,
int lastYear,
const Tenor& fixedTenor,
const Tenor& floatingTenor,
const UpperTriangularDoubleMatrix& strikes, // 1st row and column not used like g!
const UpperTriangularDoubleMatrix& quotes) // 1st row and column not used like g!
: lmmTenorStructure_(lmmTenorStructure)
, lastYear_(lastYear)
, fixedTenor_(fixedTenor)
, floatingTenor_(floatingTenor)
, indexRatio_(fixedTenor.NbOfMonth()/floatingTenor.NbOfMonth())
, upperTriangleVanillaSwaptionQuotes_(lastYear+1, lastYear+1)
, indexMapping_gDelegate_gTransformed_(lastYear+1, lastYear+1)
{
assert(lmmTenorStructure_->get_horizon() == lastYear*indexRatio_);
assert(lastYear>1);
assert(strikes.size1() == strikes.size2() && strikes.size1() == lastYear_+1);
assert(quotes.size1() == quotes.size2() && quotes.size1() == lastYear_+1);
assert(fixedTenor.NbOfMonth() == 12 && fixedTenor.NbOfMonth()%floatingTenor.NbOfMonth() ==0);
assert(lmmTenorStructure->get_tenorType() == floatingTenor);
//! upperTriangle:
for(size_t iExpirity = 1; iExpirity<quotes.size1(); ++iExpirity) // row
{
for(size_t jTenor = 1; jTenor<quotes.size2()-iExpirity; ++jTenor) // col
{
double strike = strikes(iExpirity,jTenor);
//size_t indexStart = computeStartIndex(iExpirity);
//size_t indexEnd = computeIndexEnd(iExpirity,jTenor);
size_t indexStart = iExpirity*indexRatio_;
size_t indexEnd = indexStart + jTenor*indexRatio_;
VanillaSwap vanillaSwap(strike, indexStart, indexEnd, floatingTenor_, fixedTenor_, lmmTenorStructure);
VanillaSwaption vanillaSwaption(vanillaSwap, OptionType::OptionType::CALL);
double quote = quotes(iExpirity,jTenor);
std::pair<VanillaSwaption, double> p(vanillaSwaption, quote);
upperTriangleVanillaSwaptionQuotes_(iExpirity,jTenor) = p;
}
}
initialize_gDelegate_IndexIngTransformed();
}
void Initiate_UpperTriangularDoubleMatrix(UpperTriangularDoubleMatrix& matrix, double increment)
{
size_t nbRow = matrix.size1();
size_t nbCol = matrix.size2();
assert(nbRow == nbCol);
for(size_t k=0;k<nbRow;++k) // empty first row and first column
{
matrix(0,k) = -1000000000;
matrix(k,0) = -1000000000;
}
double value_counter = increment;
for(size_t i=1;i<nbRow;++i)
{
for(size_t j=1;j<nbRow-i;++j)
{
matrix(i,j)=value_counter;
value_counter+=increment;
}
}
}