void RngTraitsTest::testGaussian() {
BOOST_TEST_MESSAGE("Testing Gaussian pseudo-random number generation...");
PseudoRandom::rsg_type rsg =
PseudoRandom::make_sequence_generator(100, 1234);
const std::vector<Real>& values = rsg.nextSequence().value;
Real sum = 0.0;
for (Size i=0; i<values.size(); i++)
sum += values[i];
Real stored = 4.09916;
Real tolerance = 1.0e-5;
if (std::fabs(sum - stored) > tolerance)
BOOST_FAIL("the sum of the samples does not match the stored value\n"
<< " calculated: " << sum << "\n"
<< " expected: " << stored);
}
void MCIRDLSLSEngine::calculate() const {
for(Size i=0;i<additionalStats_.size();++i) {
additionalStats_[i].reset();
}
pathPricer_ = this->lsmPathPricer();
Size NeedRnd=randNum();
PseudoRandom::rsg_type gen = PseudoRandom::make_sequence_generator(NeedRnd, seed_);
const std::vector<Real>& rand = gen.nextSequence().value;
//Real values=this->pathPricer_->values(rand,nCalibrationSamples_);
Real values=this->pathPricer_->values(rand,maxSamples_);
this->pathPricer_->calibrate(nCalibrationSamples_);
values=this->pathPricer_->values(rand,maxSamples_);
results_.additionalResults["ImpliedCall"] = values;
const std::vector<Date> & fixings=this->arguments_.fixingDates;
Size sizeOfCouponNum=fixings.size();
Leg expectedCashflows;
Leg pastLeg = arguments_.payoffLeg->leg();
expectedCashflows=pastLeg;
std::vector<Real> cashflows(sizeOfCouponNum);
std::vector<Real> cashflowsDates(sizeOfCouponNum);
std::vector<Real> earlyExProbability;
std::vector<Real>& earlyExProbabilityM = pathPricer_->earlyExProbability(); // 그거 지난 일자는 빠진거.
//
//for(Size i=0;i<additionalStats_.size();++i) {
// expectedCashflows[sizeOfCouponNum-i-1]=boost::shared_ptr<CashFlow>(
// new SimpleCashFlow(additionalStats_[sizeOfCouponNum-i-1].mean(),fixings[sizeOfCouponNum-i-1]));
// cashflows[sizeOfCouponNum-i-1]=additionalStats_[sizeOfCouponNum-i-1].mean();
//
// //std::cout << additionalStats_[i].mean() << std::endl;
//}
Date today = Settings::instance().evaluationDate();
Size numberOfPastFixings=0;
for(Size i=0;i<sizeOfCouponNum;++i){
if(fixings[i]<today){
numberOfPastFixings=numberOfPastFixings+1;
}
}
for(Size i=0;i<numberOfPastFixings;++i) {
expectedCashflows[i]=boost::shared_ptr<CashFlow>(
new SimpleCashFlow((arguments_.payoffLeg->payoff())[i]->amount(),fixings[i]));
cashflows[i]=(arguments_.payoffLeg->payoff())[i]->amount(),fixings[i];
earlyExProbability.push_back(0.0);
}
for(Size i=0;i<additionalStats_.size();++i) {
expectedCashflows[sizeOfCouponNum-i-1]=boost::shared_ptr<CashFlow>(
new SimpleCashFlow(additionalStats_[additionalStats_.size()-i-1].mean(),fixings[sizeOfCouponNum-i-1]));
cashflows[sizeOfCouponNum-i-1]=additionalStats_[additionalStats_.size()-i-1].mean();
earlyExProbability.push_back(earlyExProbabilityM[i]/maxSamples_);
}
results_.additionalResults["cashflows"] = cashflows;
/*for(Size i=0;i<additionalStats_.size();++i) {
std::cout << "cashflows : "<< cashflows[i] << std::endl;
}*/
for(Size i=0;i<sizeOfCouponNum;++i){
cashflowsDates[i]=static_cast<Real>(fixings[i].serialNumber());
}
results_.additionalResults["cashflowsDates"] = cashflowsDates;
results_.additionalResults["EarlyExProbability"] = earlyExProbability;
//pricer에서 Notional을 더해서옴. 언제 상환될지 모르므로...
//Real Notional=arguments_.Notional;
//expectedCashflows.push_back(boost::shared_ptr<CashFlow>(new SimpleCashFlow(Notional,fixings.back())));
results_.expectedCashflows=expectedCashflows;
//expected Bond Price도 넣어야하나..?
QL_REQUIRE(!discountTS_.empty(),
"discounting term structure handle is empty");
results_.valuationDate = Settings::instance().evaluationDate();
bool includeRefDateFlows =false;
Real Notional=arguments_.Notional;
results_.additionalResults["nonCallableValue"] = pathPricer_->expectedBondPrice()*10000/maxSamples_;
results_.additionalResults["nonCallableUnitValue"] = pathPricer_->expectedBondPrice()*100000000/(maxSamples_*Notional);
results_.value = CashFlows::npv(results_.expectedCashflows,
**discountTS_,
includeRefDateFlows,
results_.valuationDate,
results_.valuationDate);
results_.settlementValue = CashFlows::npv(results_.expectedCashflows,
**discountTS_,
false,
arguments_.settlementDate,
arguments_.settlementDate);
results_.additionalResults["UnitValue"] = results_.value*10000/Notional;
}
