inline DiscountFactor ForwardRateStructure::discountImpl(Time t) const {
if (t == 0.0) // this acts as a safe guard in cases where
return 1.0; // zeroYieldImpl(0.0) would throw.
Rate r = zeroYieldImpl(t);
return DiscountFactor(std::exp(-r*t));
}
/// Computation of the payoff at the final time of the tree (ie the option maturity)
static void BermudianSwaption_InitialPayoffHW1D(int swaption_start, TreeHW1dG* Meth, ModelHW1dG* HW1dG_Parameters, ZCMarketData* ZCMarket, PnlVect* OptionPriceVect2, NumFunc_1 *p, double periodicity,double contract_maturity, double SwaptionFixedRate)
{
double sigma;
int jminprev, jmaxprev; // jmin[i], jmax [i]
int i,j;
double delta_x1; // delta_x1 = space step of the process x at time i
double delta_t1; // time step
double ZCPrice, SumZC;
double current_rate;
int NumberOfPayments;
double Ti;
ZCPrice = 0.0;
///** Calcul du vecteur des payoffs a l'instant de maturite de l'option
jminprev = pnl_vect_int_get(Meth->Jminimum, swaption_start); // jmin(swaption_start)
jmaxprev = pnl_vect_int_get(Meth->Jmaximum, swaption_start); // jmax(swaption_start)
pnl_vect_resize(OptionPriceVect2, jmaxprev-jminprev+1);
delta_t1 = GET(Meth->t, swaption_start) - GET(Meth->t,swaption_start-1);
sigma = Current_VolatilityHW1dG(HW1dG_Parameters, GET(Meth->t, swaption_start));
delta_x1 = SpaceStepHW1dG(delta_t1, sigma);//SpaceStepHW1dG(delta_t1, a, sigma);
NumberOfPayments = (int) floor((contract_maturity-GET(Meth->t, swaption_start) )/periodicity + 0.2);
p->Par[0].Val.V_DOUBLE = 1.0;
for( j = jminprev ; j<=jmaxprev ; j++)
{
current_rate = j * delta_x1 + GET(Meth->alpha, swaption_start); // rate(Ngrid, j )
SumZC = 0;
for(i=1; i<=NumberOfPayments; i++)
{
Ti = GET(Meth->t, swaption_start) + i*periodicity;
ZCPrice = DiscountFactor(ZCMarket, HW1dG_Parameters, GET(Meth->t, swaption_start), Ti, current_rate);
SumZC += ZCPrice;
}
LET(OptionPriceVect2, j-jminprev) = ((p->Compute)(p->Par, periodicity * SwaptionFixedRate * SumZC + ZCPrice));
}
}
