Rate CreditDefaultSwap::impliedHazardRate(
Real targetNPV,
const Handle<YieldTermStructure>& discountCurve,
const DayCounter& dayCounter,
Real recoveryRate,
Real accuracy) const {
boost::shared_ptr<SimpleQuote> flatRate(new SimpleQuote(0.0));
Handle<DefaultProbabilityTermStructure> probability(
boost::shared_ptr<DefaultProbabilityTermStructure>(new
FlatHazardRate(0, WeekendsOnly(),
Handle<Quote>(flatRate), dayCounter)));
MidPointCdsEngine engine(probability, recoveryRate, discountCurve);
setupArguments(engine.getArguments());
const CreditDefaultSwap::results* results =
dynamic_cast<const CreditDefaultSwap::results*>(
engine.getResults());
ObjectiveFunction f(targetNPV, *flatRate, engine, results);
Rate guess = 0.001;
Rate step = guess*0.1;
return Brent().solve(f, accuracy, guess, step);
}
Disposable<std::vector<boost::shared_ptr<CalibrationHelper> > >
FloatFloatSwaption::calibrationBasket(
boost::shared_ptr<SwapIndex> standardSwapBase,
boost::shared_ptr<SwaptionVolatilityStructure> swaptionVolatility,
const BasketGeneratingEngine::CalibrationBasketType basketType) const {
boost::shared_ptr<BasketGeneratingEngine> engine =
boost::dynamic_pointer_cast<BasketGeneratingEngine>(engine_);
QL_REQUIRE(engine, "engine is not a basket generating engine");
engine_->reset();
setupArguments(engine_->getArguments());
engine_->getArguments()->validate();
return engine->calibrationBasket(exercise_, standardSwapBase,
swaptionVolatility, basketType);
}
Rate CreditDefaultSwap::conventionalSpread(
Real conventionalRecovery,
const Handle<YieldTermStructure>& discountCurve,
const DayCounter& dayCounter) const {
Rate flatHazardRate = impliedHazardRate(0.0,
discountCurve,
dayCounter,
conventionalRecovery);
Handle<DefaultProbabilityTermStructure> probability(
boost::shared_ptr<DefaultProbabilityTermStructure>(
new FlatHazardRate(0, WeekendsOnly(),
flatHazardRate, dayCounter)));
MidPointCdsEngine engine(probability, conventionalRecovery,
discountCurve, true);
setupArguments(engine.getArguments());
engine.calculate();
const CreditDefaultSwap::results* results =
dynamic_cast<const CreditDefaultSwap::results*>(
engine.getResults());
return results->fairSpread;
}
void FDEuropeanEngine<Scheme>::calculate() const {
setupArguments(&arguments_);
setGridLimits();
initializeInitialCondition();
initializeOperator();
initializeBoundaryConditions();
FiniteDifferenceModel<Scheme<TridiagonalOperator> > model(
finiteDifferenceOperator_, BCs_);
prices_ = intrinsicValues_;
model.rollback(prices_.values(), getResidualTime(),
0, timeSteps_);
results_.value = prices_.valueAtCenter();
results_.delta = prices_.firstDerivativeAtCenter();
results_.gamma = prices_.secondDerivativeAtCenter();
results_.theta = blackScholesTheta(process_,
results_.value,
results_.delta,
results_.gamma);
results_.additionalResults["priceCurve"] = prices_;
}
int main(int argc, const char **argv)
#endif
{
bContext *C = CTX_create();
SYS_SystemHandle syshandle;
#ifndef WITH_PYTHON_MODULE
bArgs *ba;
#endif
#ifdef WIN32
wchar_t **argv_16 = CommandLineToArgvW(GetCommandLineW(), &argc);
int argci = 0;
char **argv = MEM_mallocN(argc * sizeof(char *), "argv array");
for (argci = 0; argci < argc; argci++) {
argv[argci] = alloc_utf_8_from_16(argv_16[argci], 0);
}
LocalFree(argv_16);
#endif
#ifdef WITH_PYTHON_MODULE
#ifdef __APPLE__
environ = *_NSGetEnviron();
#endif
#undef main
evil_C = C;
#endif
#ifdef WITH_BINRELOC
br_init(NULL);
#endif
#ifdef WITH_LIBMV
libmv_initLogging(argv[0]);
#endif
setCallbacks();
#if defined(__APPLE__) && !defined(WITH_PYTHON_MODULE)
/* patch to ignore argument finder gives us (pid?) */
if (argc == 2 && strncmp(argv[1], "-psn_", 5) == 0) {
extern int GHOST_HACK_getFirstFile(char buf[]);
static char firstfilebuf[512];
argc = 1;
if (GHOST_HACK_getFirstFile(firstfilebuf)) {
argc = 2;
argv[1] = firstfilebuf;
}
}
#endif
#ifdef __FreeBSD__
fpsetmask(0);
#endif
/* initialize path to executable */
BLI_init_program_path(argv[0]);
BLI_threadapi_init();
initglobals(); /* blender.c */
IMB_init();
BKE_images_init();
BKE_brush_system_init();
BLI_callback_global_init();
#ifdef WITH_GAMEENGINE
syshandle = SYS_GetSystem();
#else
syshandle = 0;
#endif
/* first test for background */
#ifndef WITH_PYTHON_MODULE
ba = BLI_argsInit(argc, (const char **)argv); /* skip binary path */
setupArguments(C, ba, &syshandle);
BLI_argsParse(ba, 1, NULL, NULL);
if (use_crash_handler) {
/* after parsing args */
signal(SIGSEGV, blender_crash_handler);
}
#else
G.factory_startup = true; /* using preferences or user startup makes no sense for py-as-module */
(void)syshandle;
#endif
#ifdef WITH_FFMPEG
IMB_ffmpeg_init();
#endif
/* after level 1 args, this is so playanim skips RNA init */
RNA_init();
RE_engines_init();
init_nodesystem();
/* end second init */
#if defined(WITH_PYTHON_MODULE) || defined(WITH_HEADLESS)
G.background = true; /* python module mode ALWAYS runs in background mode (for now) */
#else
/* for all platforms, even windos has it! */
if (G.background) {
signal(SIGINT, blender_esc); /* ctrl c out bg render */
}
#endif
/* background render uses this font too */
BKE_vfont_builtin_register(datatoc_bfont_pfb, datatoc_bfont_pfb_size);
/* Initialize ffmpeg if built in, also needed for bg mode if videos are
* rendered via ffmpeg */
sound_init_once();
init_def_material();
if (G.background == 0) {
#ifndef WITH_PYTHON_MODULE
BLI_argsParse(ba, 2, NULL, NULL);
BLI_argsParse(ba, 3, NULL, NULL);
#endif
WM_init(C, argc, (const char **)argv);
/* this is properly initialized with user defs, but this is default */
/* call after loading the startup.blend so we can read U.tempdir */
BLI_init_temporary_dir(U.tempdir);
#ifdef WITH_SDL
BLI_setenv("SDL_VIDEODRIVER", "dummy");
#endif
}
else {
#ifndef WITH_PYTHON_MODULE
BLI_argsParse(ba, 3, NULL, NULL);
#endif
WM_init(C, argc, (const char **)argv);
/* don't use user preferences temp dir */
BLI_init_temporary_dir(NULL);
}
#ifdef WITH_PYTHON
/**
* NOTE: the U.pythondir string is NULL until WM_init() is executed,
* so we provide the BPY_ function below to append the user defined
* python-dir to Python's sys.path at this point. Simply putting
* WM_init() before #BPY_python_start() crashes Blender at startup.
*/
/* TODO - U.pythondir */
#else
printf("\n* WARNING * - Blender compiled without Python!\nthis is not intended for typical usage\n\n");
#endif
CTX_py_init_set(C, 1);
WM_keymap_init(C);
#ifdef WITH_FREESTYLE
/* initialize Freestyle */
FRS_initialize();
FRS_set_context(C);
#endif
/* OK we are ready for it */
#ifndef WITH_PYTHON_MODULE
BLI_argsParse(ba, 4, load_file, C);
if (G.background == 0) {
if (!G.file_loaded)
if (U.uiflag2 & USER_KEEP_SESSION)
WM_recover_last_session(C, NULL);
}
#endif
#ifndef WITH_PYTHON_MODULE
BLI_argsFree(ba);
#endif
#ifdef WIN32
while (argci) {
free(argv[--argci]);
}
MEM_freeN(argv);
argv = NULL;
#endif
#ifdef WITH_PYTHON_MODULE
return 0; /* keep blender in background mode running */
#endif
if (G.background) {
/* actually incorrect, but works for now (ton) */
WM_exit(C);
}
else {
if (G.fileflags & G_FILE_AUTOPLAY) {
if (G.f & G_SCRIPT_AUTOEXEC) {
if (WM_init_game(C)) {
return 0;
}
}
else {
if (!(G.f & G_SCRIPT_AUTOEXEC_FAIL_QUIET)) {
G.f |= G_SCRIPT_AUTOEXEC_FAIL;
BLI_snprintf(G.autoexec_fail, sizeof(G.autoexec_fail), "Game AutoStart");
}
}
}
if (!G.file_loaded) {
WM_init_splash(C);
}
}
WM_main(C);
return 0;
} /* end of int main(argc, argv) */
