const Real Gaussian1dModel::zerobondOption( const Option::Type &type, const Date &expiry, const Date &valueDate, const Date &maturity, const Rate strike, const Date &referenceDate, const Real y, const Handle<YieldTermStructure> &yts, const Real yStdDevs, const Size yGridPoints, const bool extrapolatePayoff, const bool flatPayoffExtrapolation) const { calculate(); Time fixingTime = termStructure()->timeFromReference(expiry); Time referenceTime = referenceDate == Null<Date>() ? 0.0 : termStructure()->timeFromReference(referenceDate); Array yg = yGrid(yStdDevs, yGridPoints, fixingTime, referenceTime, y); Array z = yGrid(yStdDevs, yGridPoints); Array p(yg.size()); for (Size i = 0; i < yg.size(); i++) { Real expValDsc = zerobond(valueDate, expiry, yg[i], yts); Real discount = zerobond(maturity, expiry, yg[i], yts) / expValDsc; p[i] = std::max((type == Option::Call ? 1.0 : -1.0) * (discount - strike), 0.0) / numeraire(fixingTime, yg[i], yts) * expValDsc; } CubicInterpolation payoff( z.begin(), z.end(), p.begin(), CubicInterpolation::Spline, true, CubicInterpolation::Lagrange, 0.0, CubicInterpolation::Lagrange, 0.0); Real price = 0.0; for (Size i = 0; i < z.size() - 1; i++) { price += gaussianShiftedPolynomialIntegral( 0.0, payoff.cCoefficients()[i], payoff.bCoefficients()[i], payoff.aCoefficients()[i], p[i], z[i], z[i], z[i + 1]); } if (extrapolatePayoff) { if (flatPayoffExtrapolation) { price += gaussianShiftedPolynomialIntegral( 0.0, 0.0, 0.0, 0.0, p[z.size() - 2], z[z.size() - 2], z[z.size() - 1], 100.0); price += gaussianShiftedPolynomialIntegral(0.0, 0.0, 0.0, 0.0, p[0], z[0], -100.0, z[0]); } else { if (type == Option::Call) price += gaussianShiftedPolynomialIntegral( 0.0, payoff.cCoefficients()[z.size() - 2], payoff.bCoefficients()[z.size() - 2], payoff.aCoefficients()[z.size() - 2], p[z.size() - 2], z[z.size() - 2], z[z.size() - 1], 100.0); if (type == Option::Put) price += gaussianShiftedPolynomialIntegral( 0.0, payoff.cCoefficients()[0], payoff.bCoefficients()[0], payoff.aCoefficients()[0], p[0], z[0], -100.0, z[0]); } } return numeraire(referenceTime, y, yts) * price; }
extern std::vector < std::unique_ptr< math::API::InterpolationTableIntegral > > referenceIntegrals; SCENARIO("The composite interpolation table's integral functions correctly", "[math], [CompositeInterpolationTable], [integral]"){ GIVEN("An CompositeInterpolationTable and " "the vector of integral tables generated from it's components"){ WHEN("queried for their xGrid and yGrids"){ THEN("the stored values will be equal"){ LOG(INFO) << "Test " << ++testNumber << ": [integral] No Errors Expected"; auto integralTable = cit->integral(0); auto xGrids = integralTable->xGrid(); auto xGrid = xGrids.begin(); auto yGrids = integralTable->yGrid(); auto yGrid = yGrids.begin(); for (auto& referenceIntegral : referenceIntegrals){ auto refXGrids = referenceIntegral->xGrid(); auto& refXGrid = refXGrids[0]; REQUIRE(true == std::equal(refXGrid.begin(), refXGrid.end(), xGrid->begin(), xGrid->end())); auto refYGrids = referenceIntegral->yGrid(); auto& refYGrid = refYGrids[0]; REQUIRE(true == std::equal(refYGrid.begin(), refYGrid.end(), yGrid->begin(), yGrid->end())); ++xGrid; ++yGrid; } } }