//! Annuity at time 0
double LmmVanillaSwapPricer::annuity0(const VanillaSwap& vanillaSwap,
const std::vector<double>& liborsInitValue) const
{
assert(pLMMTenorStructure_->get_horizon()+1 == liborsInitValue.size());
assert(pLMMTenorStructure_->get_horizon() >= vanillaSwap.get_indexEnd()); // if not cannot price this swap;
size_t horizon = pLMMTenorStructure_->get_horizon();
const double & fixedLegdelta_T = vanillaSwap.get_fixedLegTenorType().YearFraction();
const double & floatingLegdelta_T = vanillaSwap.get_floatingLegTenorType().YearFraction();
//! ZC[i] = P(T_0,T_i)
std::vector<double> ZC(vanillaSwap.get_indexEnd()+1);
ZC[0] = 1.0;
for(size_t i=1; i<ZC.size(); ++i)
{
size_t indexLibor = i-1;
//double deltaT = vanillaSwap.get_DeltaTFloatLeg(indexLibor); // YY bug
double deltaT = floatingLegdelta_T;
ZC[i] = ZC[i-1]/(1+deltaT*liborsInitValue[indexLibor]);
}
double price = 0.0;
const std::vector<LMM::Index>& fixedLegPaymentIndexSchedule = vanillaSwap.get_fixedLegPaymentIndexSchedule();
for(size_t itr = 0; itr < fixedLegPaymentIndexSchedule.size(); ++itr)
{
size_t fixedLegPaymentIndex = fixedLegPaymentIndexSchedule[itr];
double delta_T = vanillaSwap.get_DeltaTFixedLeg(itr);
//std::cout << "numeraire[indexValuationDate]/numeraire[fixedLegPaymentIndex] = " << numeraire[indexValuationDate]/numeraire[fixedLegPaymentIndex] << std::endl;
price += delta_T*ZC[fixedLegPaymentIndex];
}
return price;
}
double LmmVanillaSwapPricer::annuity(
const LMM::Index indexValuationDate,
const VanillaSwap & vanillaSwap,
const std::vector<double> & numeraire) const
{
assert(indexValuationDate <= vanillaSwap.get_indexStart()); //YY TODO: this test too slow, esp: within MC simulation
assert(pLMMTenorStructure_->get_horizon() >= vanillaSwap.get_indexEnd()); // if not cannot price this swap;
double price = 0.0;
const std::vector<LMM::Index>& fixedLegPaymentIndexSchedule = vanillaSwap.get_fixedLegPaymentIndexSchedule();
for(size_t itr = 0; itr < fixedLegPaymentIndexSchedule.size(); ++itr)
{
size_t fixedLegPaymentIndex = fixedLegPaymentIndexSchedule[itr];
double delta_T = vanillaSwap.get_DeltaTFixedLeg(itr);
//std::cout << "numeraire[indexValuationDate]/numeraire[fixedLegPaymentIndex] = " << numeraire[indexValuationDate]/numeraire[fixedLegPaymentIndex] << std::endl;
price += delta_T*numeraire[indexValuationDate]/numeraire[fixedLegPaymentIndex];
}
return price;
}