double LmmVanillaSwapPricer::swapNPV_Analytical_2(const VanillaSwap& vanillaSwap, const std::vector<double>& liborsInitValue) const // initLibor[i] = L_i[T_0]
{
assert(pLMMTenorStructure_->get_horizon()+1 == liborsInitValue.size());
assert(pLMMTenorStructure_->get_horizon() >= vanillaSwap.get_indexEnd()); // if not cannot price this swap;
size_t horizon = pLMMTenorStructure_->get_horizon();
const double & floatingLegdelta_T = vanillaSwap.get_floatingLegTenorType().YearFraction();
const double & fixedLegdelta_T = vanillaSwap.get_fixedLegTenorType().YearFraction();
//! ZC[i] = P(T_0,T_i)
std::vector<double> ZC(horizon+2);
ZC[0] = 1.0;
for(size_t i=1; i<ZC.size(); ++i)
{
ZC[i] = ZC[i-1]/(1+floatingLegdelta_T*liborsInitValue[i-1]);
}
//! numeraire
std::vector<double> numeraire(ZC.size() ); // determinisitc IR
for(size_t i=0; i<ZC.size(); ++i)
{
numeraire[i] = 1.0/ZC[i];
}
//! pvFloatingLeg: 1 - 1
const std::vector<LMM::Index>& floatingLegPaymentIndexSchedule = vanillaSwap.get_floatingLegPaymentIndexSchedule();
//size_t floatingLegTenorLmmTenorRatio = vanillaSwap.get_floatingLegTenorLmmTenorRatio();
LMM::Index indexFloatingLegStart = floatingLegPaymentIndexSchedule.front();
LMM::Index indexFloatingLegEnd = floatingLegPaymentIndexSchedule.back();
double pvFloatingLegValue = ZC[indexFloatingLegStart-1] - ZC[indexFloatingLegEnd];
////! pvFloatingLeg: exact
//double pvFloatingLeg = 0.0;
//const std::vector<LMM::Index>& floatingLegPaymentIndexSchedule = vanillaSwap.get_floatingLegPaymentIndexSchedule();
//for(size_t itr = 0; itr < floatingLegPaymentIndexSchedule.size(); ++itr)
//{
// //! At time T_{i+1}, pay: L_i(T_i)
// size_t floatingLegPaymentIndex = floatingLegPaymentIndexSchedule[itr]; // = i+1
// size_t indexLibor = floatingLegPaymentIndex-1; // =i, because : floatingTenor = lmmTenor
// pvFloatingLeg += floatingLegdelta_T*initLibor[indexLibor]*ZC[floatingLegPaymentIndex];
//}
LMM::Index indexValuationDate = 0;
double pvFixedLegValue = pvFixedLeg(indexValuationDate,vanillaSwap,numeraire);
return pvFloatingLegValue - pvFixedLegValue;
}
double McLmmVanillaSwaptionPricer::price(const VanillaSwaption& vanillaSwaption, size_t nbSimulation) const
{
clock_t start_pricing = std::clock();
assert( mcLmm_->get_lmm()->get_LMMTenorStructure()->get_tenorType() == vanillaSwaption.get_lmmTenorStructureTenorType()); // this pricer can price this swaption
VanillaSwap vanillaSwap = vanillaSwaption.getUnderlyingSwap();
double result = 0.0;
double variance = 0.0;
LMM::Index indexValuationdate = 0;
LMM::Index indexMaturity = vanillaSwaption.get_indexMaturity();
for(size_t itrSimulation=0; itrSimulation<nbSimulation; ++itrSimulation)
{
mcLmm_->simulateLMM(); // YY TODO: not efficient at all, don't need to do all the simulation ...
const matrix& liborMatrix = mcLmm_->get_liborMatrix();
const std::vector<double>& numeraire = mcLmm_->get_numeraire();
double npvFloatingLeg = pvFloatingLeg(indexMaturity, vanillaSwap, numeraire, liborMatrix);
double npvFixedLeg = pvFixedLeg (indexMaturity, vanillaSwap, numeraire);
double payoffAtMaturity = vanillaSwaption.payoff(npvFloatingLeg,npvFixedLeg);
double value = payoffAtMaturity * numeraire[indexValuationdate]/numeraire[indexMaturity];
result += value;
variance += value*value;
}
result /= nbSimulation;
clock_t end_pricing = std::clock();
double pricing_duration = double(end_pricing - start_pricing) / CLOCKS_PER_SEC;
if(LMM::DEUBGLMM())
{
variance = (variance/nbSimulation-result*result);
std::cout << LMM::NOTIF_MSG
<< " mcScheme = " << MCSchemeType::mcSchemeType2String(mcLmm_->get_mcSchemeType())
<< ", nbSimualtion = " << nbSimulation
<< ", Pricing Time = " << pricing_duration
<< ", SwaptionPriceMC = " << result
<< ", 99% confidential interval = " << 2.57*std::sqrt(variance / nbSimulation) << std::endl;
}
return result;
}
