BlackStyleSwaptionEngine<Spec>::BlackStyleSwaptionEngine(
const Handle<YieldTermStructure> &discountCurve, Volatility vol,
const DayCounter &dc, Real displacement)
: discountCurve_(discountCurve),
vol_(boost::shared_ptr<SwaptionVolatilityStructure>(
new ConstantSwaptionVolatility(0, NullCalendar(), Following, vol,
dc, Spec().type, displacement))),
displacement_(displacement) {
registerWith(discountCurve_);
}
void FeedParser::parse_depends(XmlReader& xml, Dependencies& depends)
{
while (xml.start_element())
{
std::string name = xml.name();
if (name == "if")
{
depends.start_if(xml.attribute("test", project_ns));
parse_depends(xml, depends);
depends.end_if();
}
else if (name == "elseif")
{
depends.start_elseif(xml.attribute("test", project_ns));
parse_depends(xml, depends);
depends.end_if();
}
else if (name == "else")
{
depends.start_else();
parse_depends(xml, depends);
depends.end_if();
}
else if (name == "depends")
{
std::string dep = resolve_uri(spec.id, xml.attribute("href", project_ns));
depends.depends(Spec(dep.c_str()));
}
else if (name == "conflicts")
{
std::string dep = resolve_uri(spec.id, xml.attribute("href", project_ns));
depends.conflicts(Spec(dep.c_str()));
}
xml.skip();
}
}
bool FBXLoader::GetMaterial(KFbxGeometry* g, Object* o)
{
int m_count;
KFbxNode* n;
m_count = 0;
n = NULL;
if (g)
{
n = g->GetNode();
if (n)
m_count = n->GetMaterialCount();
}
if (m_count > 0)
{
KFbxPropertyDouble3 double3;
KFbxPropertyDouble1 double1;
KFbxColor col;
Material* mat;
int i;
i = 0;
while (i < m_count)
{
KFbxSurfaceMaterial* _mat;
const KFbxImplementation* imp;
KString imp_type;
_mat = n->GetMaterial(i);
mat = new (std::nothrow) Material;
if (mat == NULL)
{
std::cout << "[FbxLoader]{__GetMaterial} Error: Can not allocate memory \n";
return (false);
}
mat->SetName((char*)_mat->GetName());
imp = GetImplementation(_mat, ImplementationHLSL);
imp_type = "HLSL";
if (!imp)
{
imp = GetImplementation(_mat, ImplementationCGFX);
imp_type = "CGFX";
}
if (_mat->GetClassId().Is(KFbxSurfacePhong::ClassId))
{
double3 = ((KFbxSurfacePhong*)_mat)->Ambient;
col.Set(double3.Get()[0], double3.Get()[1], double3.Get()[2]);
Color Amb(double3);
mat->SetAmbient(Amb);
double3 = ((KFbxSurfacePhong*)_mat)->Diffuse;
col.Set(double3.Get()[0], double3.Get()[1], double3.Get()[2]);
Color Diff(double3);
mat->SetDiffuse(Diff);
double3 = ((KFbxSurfacePhong*)_mat)->Specular;
col.Set(double3.Get()[0], double3.Get()[1], double3.Get()[2]);
Color Spec(double3);
mat->SetSpecular(Spec);
double3 = ((KFbxSurfacePhong*)_mat)->Emissive;
col.Set(double3.Get()[0], double3.Get()[1], double3.Get()[2]);
Color Em(double3);
mat->SetEmissive(Em);
double1 = ((KFbxSurfacePhong*)_mat)->TransparencyFactor;
mat->SetOpacity(1.0 - double1.Get());
double1 = ((KFbxSurfacePhong*)_mat)->Shininess;
mat->SetShininess(double1.Get());
double1 = ((KFbxSurfacePhong*)_mat)->ReflectionFactor;
mat->SetReflection(1.0 - double1.Get());
mat->SetShadingModel(1);
}
else if (_mat->GetClassId().Is(KFbxSurfaceLambert::ClassId))
{
double3 = ((KFbxSurfaceLambert*)_mat)->Ambient;
col.Set(double3.Get()[0], double3.Get()[1], double3.Get()[2]);
Color Amb(double3);
mat->SetAmbient(Amb);
double3 = ((KFbxSurfaceLambert*)_mat)->Diffuse;
col.Set(double3.Get()[0], double3.Get()[1], double3.Get()[2]);
Color Diff(double3);
mat->SetDiffuse(Diff);
double3 = ((KFbxSurfaceLambert*)_mat)->Emissive;
col.Set(double3.Get()[0], double3.Get()[1], double3.Get()[2]);
Color Em(double3);
mat->SetEmissive(Em);
double1 = ((KFbxSurfaceLambert*)_mat)->TransparencyFactor;
mat->SetOpacity(1.0 - double1.Get());
mat->SetShadingModel(2);
}
o->AddMaterial(mat);
++i;
}
}
return (true);
}
EscapeDetection::EscapeDetection(const std::string &fname) {
pt::ptree tree;
pt::read_xml(fname, tree);
spec = Spec(tree);
}
void BlackStyleSwaptionEngine<Spec>::calculate() const {
static const Spread basisPoint = 1.0e-4;
Date exerciseDate = arguments_.exercise->date(0);
// the part of the swap preceding exerciseDate should be truncated
// to avoid taking into account unwanted cashflows
VanillaSwap swap = *arguments_.swap;
Rate strike = swap.fixedRate();
// using the discounting curve
// swap.iborIndex() might be using a different forwarding curve
swap.setPricingEngine(boost::shared_ptr<PricingEngine>(new
DiscountingSwapEngine(discountCurve_, false)));
Rate atmForward = swap.fairRate();
// Volatilities are quoted for zero-spreaded swaps.
// Therefore, any spread on the floating leg must be removed
// with a corresponding correction on the fixed leg.
if (swap.spread()!=0.0) {
Spread correction = swap.spread() *
std::fabs(swap.floatingLegBPS()/swap.fixedLegBPS());
strike -= correction;
atmForward -= correction;
results_.additionalResults["spreadCorrection"] = correction;
} else {
results_.additionalResults["spreadCorrection"] = 0.0;
}
results_.additionalResults["strike"] = strike;
results_.additionalResults["atmForward"] = atmForward;
// using the discounting curve
swap.setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(discountCurve_, false)));
Real annuity;
switch(arguments_.settlementType) {
case Settlement::Physical: {
annuity = std::fabs(swap.fixedLegBPS())/basisPoint;
break;
}
case Settlement::Cash: {
const Leg& fixedLeg = swap.fixedLeg();
boost::shared_ptr<FixedRateCoupon> firstCoupon =
boost::dynamic_pointer_cast<FixedRateCoupon>(fixedLeg[0]);
DayCounter dayCount = firstCoupon->dayCounter();
Real fixedLegCashBPS =
CashFlows::bps(fixedLeg,
InterestRate(atmForward, dayCount, Compounded, Annual),
false, discountCurve_->referenceDate()) ;
annuity = std::fabs(fixedLegCashBPS/basisPoint);
break;
}
default:
QL_FAIL("unknown settlement type");
}
results_.additionalResults["annuity"] = annuity;
// the swap length calculation might be improved using the value date
// of the exercise date
Time swapLength = vol_->swapLength(exerciseDate,
arguments_.floatingPayDates.back());
results_.additionalResults["swapLength"] = swapLength;
Real variance = vol_->blackVariance(exerciseDate,
swapLength,
strike);
// once the deprecated methods allowing to override the displacement
// are gone, we can avoid this and directly read the displacement
// from the volatility structure
Real displacement = displacement_ == Null<Real>()
? vol_->shift(exerciseDate, swapLength)
: displacement_;
Real stdDev = std::sqrt(variance);
results_.additionalResults["stdDev"] = stdDev;
Option::Type w = (arguments_.type==VanillaSwap::Payer) ?
Option::Call : Option::Put;
results_.value = Spec().value(w, strike, atmForward, stdDev, annuity,
displacement);
Time exerciseTime = vol_->timeFromReference(exerciseDate);
results_.additionalResults["vega"] = Spec().vega(
strike, atmForward, stdDev, exerciseTime, annuity, displacement);
}
