MC *new_NPV(MC *var1)
{
MC *ans = NPV(var1);
return ans;
}
Disposable<Array> values(const Array &v) const {
// transformations
int type = type_; // start with same type as non standard
// underlying (1 means payer, -1 receiver)
Real nominal = fabs(v[0]);
if (v[0] < 0.0)
type *= -1;
Real maturity = std::min(fabs(v[1]), maxMaturity_);
Real fixedRate = v[2]; // allow for negative rates explicitly
// (though it might not be reasonable for calibration depending
// on the model to calibrate and the market instrument quotation)
Size years = (Size)std::floor(maturity);
maturity -= (Real)years;
maturity *= 12.0;
Size months = (Size)std::floor(maturity);
Real alpha = 1.0 - (maturity - (Real)months);
if (years == 0 && months == 0) {
months = 1; // ensure a maturity of at least one month ...
alpha = 1.0; // ... but in this case only look at the lower
// maturity swap
}
// maturity -= (Real)months; maturity *= 365.25;
// Size days = (Size)std::floor(maturity);
// Real alpha = 1.0-(maturity-(Real)days);
// generate swap
Period lowerPeriod =
years * Years + months * Months; //+days*Days;
Period upperPeriod = lowerPeriod + 1 * Months; // 1*Days;
boost::shared_ptr<SwapIndex> tmpIndexLower, tmpIndexUpper;
tmpIndexLower = indexBase_->clone(lowerPeriod);
tmpIndexUpper = indexBase_->clone(upperPeriod);
boost::shared_ptr<VanillaSwap> swapLower =
tmpIndexLower->underlyingSwap(expiry_);
boost::shared_ptr<VanillaSwap> swapUpper =
tmpIndexUpper->underlyingSwap(expiry_);
// compute npv, delta, gamma
Real npvm =
alpha * NPV(swapLower, fixedRate, nominal, -h_, type) +
(1.0 - alpha) *
NPV(swapUpper, fixedRate, nominal, -h_, type);
Real npv =
alpha * NPV(swapLower, fixedRate, nominal, 0.0, type) +
(1.0 - alpha) *
NPV(swapUpper, fixedRate, nominal, 0.0, type);
Real npvu =
alpha * NPV(swapLower, fixedRate, nominal, h_, type) +
(1.0 - alpha) *
NPV(swapUpper, fixedRate, nominal, h_, type);
Real delta = (npvu - npvm) / (2.0 * h_);
Real gamma = (npvu - 2.0 * npv + npvm) / (h_ * h_);
// debug output global standard underlying npv
// Real xtmp = -5.0;
// std::cout << "globalStandardNpv;";
// while (xtmp <= 5.0 + QL_EPSILON) {
// std::cout << alpha *NPV(swapLower, fixedRate, nominal, xtmp,
// type) +
// (1.0 - alpha) * NPV(swapUpper, fixedRate,
// nominal, xtmp, type)
// << ";";
// xtmp += 0.1;
// }
// std::cout << std::endl;
// end debug output
// return target function values
Array res(3);
res[0] = (npv - npv_) / delta_;
res[1] = (delta - delta_) / delta_;
res[2] = (gamma - gamma_) / gamma_;
return res;
}
