void PricingConfig::resetAllLmmComponent()
{
shifts.resize(pLMMTenorStructure->get_horizon()+1) ; std::fill(shifts.begin(), shifts.end(), shifted_value);
liborsInitValue.resize(pLMMTenorStructure->get_horizon()+1) ; std::fill(liborsInitValue.begin(), liborsInitValue.end(), fwdRate);
pVanillaSwap.reset( new VanillaSwap(strike, indexStart, indexEnd, floatLegTenorType, fixedLegTenorType, pLMMTenorStructure) );
pVanillaSwaption.reset(new VanillaSwaption(*pVanillaSwap,OptionType::CALL) );
size_t correlFullRank = pLMMTenorStructure->get_horizon()+1;
size_t correlReducedRank = corr_nbFactor;
CorrelationReductionType::CorrelationReductionType non_reduction=CorrelationReductionType::NON;
//pCorrelation.reset(new Const_Correlation(correlFullRank,correlReducedRank, non_reduction , 0. ) );
pCorrelation.reset(new XY_beta_Correlation(correlFullRank,correlReducedRank, corr_ReductionType,XY_corr_alpha,XY_corr_beta) );
pCorrelation->calculate();
//pCorrelation->print("simuTest_MCvsApprox_SwaptionPricer_Correlation.csv");
pHGVolatilityFunction.reset( new ConstShifted_HGVolatilityFunction(pLMMTenorStructure, pCorrelation, abcd_params_ptr) );
pDispersion.reset(new Dispersion(pHGVolatilityFunction) );
pRNGenerator.reset( new McGenerator(seed) );
pLmm.reset(new Lmm(*pDispersion));
if(useTerminalProba)
{
pMCLmm.reset(new McTerminalLmm(pLmm, liborsInitValue, pRNGenerator, mcSchemeType) ) ;
}
else
{
pMCLmm.reset(new McSpotLmm(pLmm, liborsInitValue, pRNGenerator, mcSchemeType) ) ;
}
pMCLmmVanillaSwapPricer.reset( new McLmmVanillaSwapPricer(pMCLmm) ) ;
pMCLmmVanillaSwaptionPricer.reset( new McLmmVanillaSwaptionPricer(pMCLmm) ) ;
pLmmApproxVanillaSwaptionPricer.reset( new LmmVanillaSwaptionApproxPricer_Rebonato(pLmm) ); //YY: wrong!
}
UpperTriangleVanillaSwaptionQuotes_ConstPTR create_UpperTriangleVanillaSwaptionQuotes(LMMTenorStructure_PTR pLMMTenorStructure, const Tenor& tenorfixedleg, const Tenor& tenorfloatleg)
{
/// Creation of Rebonato Approx ==================================
size_t nbFactor = 3; // need to test nbFactor = 3, and nbFactor =
size_t correlFullRank = pLMMTenorStructure->get_horizon()+1;
size_t correlReducedRank = nbFactor;
CorrelationReductionType::CorrelationReductionType correlReductionType = CorrelationReductionType::PCA;
double correlAlpha = 0.0;
double correlBeta = 0.1;
Correlation_PTR correlation(new XY_beta_Correlation(correlFullRank,correlReducedRank, correlReductionType,correlAlpha,correlBeta));
correlation->calculate(); // for print.
double a=0.22,b=0.4,c=0.6,d=0.15;
double g_constParam = 1.;
double shift_constParam = 0.0;
Shifted_HGVolatilityParam::ABCDParameter abcdParam(a,b,c,d);
ConstShifted_HGVolatilityParam_PTR pConstShifted_HGVolatilityParam( new ConstShifted_HGVolatilityParam(pLMMTenorStructure, abcdParam, g_constParam, shift_constParam));
Shifted_HGVolatilityFunction_PTR pVolatilityFunction (new ConstShifted_HGVolatilityFunction(pLMMTenorStructure, correlation, pConstShifted_HGVolatilityParam));
//! Dispersion
Dispersion dispersion(pVolatilityFunction);
Lmm_PTR lmm_ptr(new Lmm(dispersion) );
LmmVanillaSwaptionApproxPricer_Rebonato_PTR pLmmApproxVanillaSwaptionPricer(new LmmVanillaSwaptionApproxPricer_Rebonato(lmm_ptr));
/// End of creation of Rebonato Approx ==================================
LiborQuotes_ConstPTR libor_quote_ptr = LiborQuotes::create_LiborInit(pLMMTenorStructure, 0.02);
UpperTriangleVanillaSwaptionQuotes_ConstPTR atm_swaption_implied_vol_ptr = UpperTriangleVanillaSwaptionQuotes::create_ATMSwaptionImpliedVol(
libor_quote_ptr,
tenorfixedleg,
tenorfloatleg,
pLmmApproxVanillaSwaptionPricer
);
//assert( atm_swaption_implied_vol_ptr->check_swaprate_consistency(libor_quote_ptr) );
return atm_swaption_implied_vol_ptr;
}
