void LongstaffSchwartzExerciseStrategy::nextStep(
const CurveState& currentState) {
principalInNumerairePortfolio_ = newPrincipal_;
if (isRebateTime_[currentIndex_])
exercise_->nextStep(currentState);
if (isControlTime_[currentIndex_])
control_->nextStep(currentState);
if (isBasisTime_[currentIndex_])
basisSystem_->nextStep(currentState);
if (currentIndex_ < numeraires_.size()-1) {
Size numeraire = numeraires_[currentIndex_];
Size nextNumeraire = numeraires_[currentIndex_+1];
newPrincipal_ *=
currentState.discountRatio(numeraire, nextNumeraire);
}
++currentIndex_;
}
bool MultiStepPeriodCapletSwaptions::nextTimeStep(
const CurveState& currentState,
std::vector<Size>& numberCashFlowsThisStep,
std::vector<std::vector<MarketModelMultiProduct::CashFlow> >&
genCashFlows)
{
for (Size i=0; i < numberCashFlowsThisStep.size(); ++i)
numberCashFlowsThisStep[i]=0UL;
if (currentIndex_ >=offset_ && (currentIndex_ - offset_) % period_ ==0)
{
// caplet first
Real df = currentState.discountRatio(currentIndex_ + period_, currentIndex_);
Time tau = rateTimes_[currentIndex_+period_]- rateTimes_[currentIndex_];
Real forward = (1.0/df-1.0)/tau;
Real value = (*forwardPayOffs_[productIndex_])(forward);
value *= tau*currentState.discountRatio(currentIndex_+period_,currentIndex_);
if (value >0)
{
numberCashFlowsThisStep[productIndex_]=1UL;
genCashFlows[productIndex_][0].amount = value;
genCashFlows[productIndex_][0].timeIndex= productIndex_;
}
// now swaption
unsigned long numberPeriods = numberBigFRAs_ - productIndex_;
Real B = 0.0;
double P0 = 1.0; // i.e currentState.discountRatio(currentIndex_,currentIndex_);
Real Pn = currentState.discountRatio(currentIndex_ + numberPeriods*period_, currentIndex_);
for (unsigned long i=0; i < numberPeriods; ++i)
{
Time tau = rateTimes_[currentIndex_+(i+1)*period_]- rateTimes_[currentIndex_+i*period_];
B+= tau*currentState.discountRatio(currentIndex_+(i+1)*period_,currentIndex_);
}
Real swapRate = (P0-Pn)/B;
Real swaptionValue= (*swapPayOffs_[productIndex_])(swapRate);
swaptionValue *=B;
if (swaptionValue >0)
{
numberCashFlowsThisStep[productIndex_+numberBigFRAs_]=1UL;
genCashFlows[productIndex_+numberBigFRAs_][0].amount = swaptionValue;
genCashFlows[productIndex_+numberBigFRAs_][0].timeIndex=productIndex_+numberBigFRAs_;
}
++productIndex_;
}
++currentIndex_;
bool terminate =(productIndex_ >= numberBigFRAs_);
return terminate;
}
