void BermudanSwaptionExerciseValue::nextStep(const CurveState& state) {
const Payoff& p = (*payoffs_[currentIndex_]);
Real value = state.coterminalSwapAnnuity(currentIndex_, currentIndex_) *
p(state.coterminalSwapRate(currentIndex_));
// value /= state.discountRatios()[currentIndex_];
value = std::max(value, 0.0);
cf_.timeIndex = currentIndex_;
cf_.amount = value;
++currentIndex_;
}
bool MultiStepCoterminalSwaptions::nextTimeStep(
const CurveState& currentState,
std::vector<Size>& numberCashFlowsThisStep,
std::vector<std::vector<MarketModelMultiProduct::CashFlow> >&
genCashFlows)
{
genCashFlows[currentIndex_][0].timeIndex = currentIndex_;
Rate swapRate = currentState.coterminalSwapRate(currentIndex_);
Real annuity = currentState.coterminalSwapAnnuity(currentIndex_, currentIndex_);
genCashFlows[currentIndex_][0].amount =
(*payoffs_[currentIndex_])(swapRate) * annuity;
std::fill(numberCashFlowsThisStep.begin(),
numberCashFlowsThisStep.end(),0);
numberCashFlowsThisStep[currentIndex_] = 1;
++currentIndex_;
return (currentIndex_ == lastIndex_);
}