//------------------------------------------------------------------------------
IntegralResult Bispectrum::oneLoop(double k1, double k2, double theta12, const LabelMap<Vertex, KernelBase*>& kernels, LinearPowerSpectrumBase* PL) const
{
// integration method
LoopPhaseSpace phasespace(k1, k2, theta12, _UVcutoff, &kernels, PL, this);
// VEGAS integration via cuba
VEGASintegrator vegas(3);
return vegas.integrate(oneLoop_integrand, &phasespace);
}
void BlackCapFloorEngine::calculate() const {
Real value = 0.0;
Real vega = 0.0;
Size optionlets = arguments_.startDates.size();
std::vector<Real> values(optionlets, 0.0);
std::vector<Real> vegas(optionlets, 0.0);
std::vector<Real> stdDevs(optionlets, 0.0);
CapFloor::Type type = arguments_.type;
Date today = vol_->referenceDate();
Date settlement = discountCurve_->referenceDate();
for (Size i=0; i<optionlets; ++i) {
Date paymentDate = arguments_.endDates[i];
// handling of settlementDate, npvDate and includeSettlementFlows
// should be implemented.
// For the time being just discard expired caplets
if (paymentDate > settlement) {
DiscountFactor d = arguments_.nominals[i] *
arguments_.gearings[i] *
discountCurve_->discount(paymentDate) *
arguments_.accrualTimes[i];
Rate forward = arguments_.forwards[i];
Date fixingDate = arguments_.fixingDates[i];
Time sqrtTime = 0.0;
if (fixingDate > today)
sqrtTime = std::sqrt(vol_->timeFromReference(fixingDate));
if (type == CapFloor::Cap || type == CapFloor::Collar) {
Rate strike = arguments_.capRates[i];
if (sqrtTime>0.0) {
stdDevs[i] = std::sqrt(vol_->blackVariance(fixingDate,
strike));
vegas[i] = blackFormulaStdDevDerivative(strike,
forward, stdDevs[i], d, displacement_) * sqrtTime;
}
// include caplets with past fixing date
values[i] = blackFormula(Option::Call,
strike, forward, stdDevs[i], d, displacement_);
}
if (type == CapFloor::Floor || type == CapFloor::Collar) {
Rate strike = arguments_.floorRates[i];
Real floorletVega = 0.0;
if (sqrtTime>0.0) {
stdDevs[i] = std::sqrt(vol_->blackVariance(fixingDate,
strike));
floorletVega = blackFormulaStdDevDerivative(strike,
forward, stdDevs[i], d, displacement_) * sqrtTime;
}
Real floorlet = blackFormula(Option::Put,
strike, forward, stdDevs[i], d, displacement_);
if (type == CapFloor::Floor) {
values[i] = floorlet;
vegas[i] = floorletVega;
} else {
// a collar is long a cap and short a floor
values[i] -= floorlet;
vegas[i] -= floorletVega;
}
}
value += values[i];
vega += vegas[i];
}
}
results_.value = value;
results_.additionalResults["vega"] = vega;
results_.additionalResults["optionletsPrice"] = values;
results_.additionalResults["optionletsVega"] = vegas;
results_.additionalResults["optionletsAtmForward"] = arguments_.forwards;
if (type != CapFloor::Collar)
results_.additionalResults["optionletsStdDev"] = stdDevs;
}
