UpperTriangleVanillaSwaptionQuotes::UpperTriangleVanillaSwaptionQuotes(
LMMTenorStructure_PTR lmmTenorStructure,
int lastYear,
const Tenor& fixedTenor,
const Tenor& floatingTenor,
const UpperTriangularDoubleMatrix& strikes, // 1st row and column not used like g!
const UpperTriangularDoubleMatrix& quotes) // 1st row and column not used like g!
: lmmTenorStructure_(lmmTenorStructure)
, lastYear_(lastYear)
, fixedTenor_(fixedTenor)
, floatingTenor_(floatingTenor)
, indexRatio_(fixedTenor.NbOfMonth()/floatingTenor.NbOfMonth())
, upperTriangleVanillaSwaptionQuotes_(lastYear+1, lastYear+1)
, indexMapping_gDelegate_gTransformed_(lastYear+1, lastYear+1)
{
assert(lmmTenorStructure_->get_horizon() == lastYear*indexRatio_);
assert(lastYear>1);
assert(strikes.size1() == strikes.size2() && strikes.size1() == lastYear_+1);
assert(quotes.size1() == quotes.size2() && quotes.size1() == lastYear_+1);
assert(fixedTenor.NbOfMonth() == 12 && fixedTenor.NbOfMonth()%floatingTenor.NbOfMonth() ==0);
assert(lmmTenorStructure->get_tenorType() == floatingTenor);
//! upperTriangle:
for(size_t iExpirity = 1; iExpirity<quotes.size1(); ++iExpirity) // row
{
for(size_t jTenor = 1; jTenor<quotes.size2()-iExpirity; ++jTenor) // col
{
double strike = strikes(iExpirity,jTenor);
//size_t indexStart = computeStartIndex(iExpirity);
//size_t indexEnd = computeIndexEnd(iExpirity,jTenor);
size_t indexStart = iExpirity*indexRatio_;
size_t indexEnd = indexStart + jTenor*indexRatio_;
VanillaSwap vanillaSwap(strike, indexStart, indexEnd, floatingTenor_, fixedTenor_, lmmTenorStructure);
VanillaSwaption vanillaSwaption(vanillaSwap, OptionType::OptionType::CALL);
double quote = quotes(iExpirity,jTenor);
std::pair<VanillaSwaption, double> p(vanillaSwaption, quote);
upperTriangleVanillaSwaptionQuotes_(iExpirity,jTenor) = p;
}
}
initialize_gDelegate_IndexIngTransformed();
}
//! for MC
double McGeneticTargetSwapLmmPricer::evaluateCouponLeg( LMM::Index indexValuationDate,
const CouponLeg_CONSTPTR couponLeg,
const std::vector<double>& numeraire,
const matrix& liborMatrix,
LMMTenorStructure_PTR lmmTenorStructure)const
{
std::vector<Coupon_CONSTPTR> couponList=couponLeg->getLeg();
Coupon_CONSTPTR firstCoupon = couponList[0];
TargetCoupon_CONSTPTR firstTargetCoupon = boost::dynamic_pointer_cast<const TargetCoupon>(firstCoupon);
if(!firstTargetCoupon)
throw("fail to cast targetCoupon");
double target = firstTargetCoupon->getTarget();
Rate_CONSTPTR firstRate = firstTargetCoupon->getRate();
LiborRate_CONSTPTR firstLiborRate = boost::dynamic_pointer_cast<const LiborRate>(firstRate);
ConstRate_CONSTPTR firstConstRate = boost::dynamic_pointer_cast<const ConstRate>(firstRate);
if(!firstLiborRate&&!firstConstRate)
{
throw("fail to cast LiborRate or ConstRate");
}
double price = 0.0;
if(firstLiborRate)
{
if(firstLiborRate->getDuration()!=lmmTenorStructure->get_tenorType())
throw("the tenor of the libor demanded is not the same than that in the model");
for(size_t i=0; i<couponList.size(); i++)
{
Coupon_CONSTPTR coupon=couponList[i];
LMM::Index paymentIndex = coupon->getPaymentIndex();
if(paymentIndex<=indexValuationDate)continue;
CappedFlooredCoupon_CONSTPTR cappedFlooredCoupon = boost::dynamic_pointer_cast<const CappedFlooredCoupon>(coupon);
TargetCoupon_CONSTPTR targetCoupon = boost::dynamic_pointer_cast<const TargetCoupon>(coupon);
Rate_CONSTPTR rate = targetCoupon->getRate();
LiborRate_CONSTPTR liborRate = boost::dynamic_pointer_cast<const LiborRate>(rate);
LMM::Index indexLibor = liborRate->getFixingTime();
assert(indexLibor<=paymentIndex);
if(price<target)
{
double numeraire1 = numeraire[indexValuationDate];
double numeraire2 = numeraire[paymentIndex];
double numeraireLocal = numeraire1/numeraire2;
double liborValue = liborMatrix(indexLibor, indexLibor);
double result_calculate = evaluateCappedFlooredCoupon(cappedFlooredCoupon, liborValue);
price += numeraireLocal*result_calculate;
}
}
}
else
{
for(size_t i=0; i<couponList.size(); i++)
{
Coupon_CONSTPTR coupon=couponList[i];
LMM::Index paymentIndex = coupon->getPaymentIndex();
if(paymentIndex<=indexValuationDate)continue;
CappedFlooredCoupon_CONSTPTR cappedFlooredCoupon = boost::dynamic_pointer_cast<const CappedFlooredCoupon>(coupon);
Rate_CONSTPTR rate = cappedFlooredCoupon->getRate();
ConstRate_CONSTPTR constRate = boost::dynamic_pointer_cast<const ConstRate>(rate);
double constRateValue = constRate->getConstRateValue();
price+=numeraire[indexValuationDate]/numeraire[paymentIndex]*evaluateCappedFlooredCoupon(cappedFlooredCoupon, constRateValue);
}
}
return price;
}
