pathwiseproductinversefloater.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
Copyright (C) 2009 Mark Joshi
 
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
 
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license.  You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
 
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#include <ql/models/marketmodels/curvestate.hpp>
#include <ql/models/marketmodels/products/pathwise/pathwiseproductinversefloater.hpp>
#include <ql/models/marketmodels/utilities.hpp>
#include <utility>
 
namespace QuantLib 
{
 
 
    bool MarketModelPathwiseInverseFloater::alreadyDeflated() const
    {
        return false;
    }
 
    MarketModelPathwiseInverseFloater::MarketModelPathwiseInverseFloater(
        const std::vector<Time>& rateTimes,
        std::vector<Real> fixedAccruals,
        const std::vector<Real>& floatingAccruals,
        const std::vector<Real>& fixedStrikes,
        const std::vector<Real>& fixedMultipliers,
        const std::vector<Real>& floatingSpreads,
        const std::vector<Time>& paymentTimes,
        bool payer)
    : rateTimes_(rateTimes), fixedAccruals_(std::move(fixedAccruals)),
      floatingAccruals_(floatingAccruals), fixedStrikes_(fixedStrikes),
      fixedMultipliers_(fixedMultipliers), floatingSpreads_(floatingSpreads),
      paymentTimes_(paymentTimes), multiplier_(payer ? -1.0 : 1.0),
      lastIndex_(rateTimes.size() - 1) {
        checkIncreasingTimes(paymentTimes);
        QL_REQUIRE(fixedAccruals_.size() == lastIndex_," Incorrect number of fixedAccruals given, should be " <<  lastIndex_ << " not " << fixedAccruals_.size() );
        QL_REQUIRE(floatingAccruals.size() == lastIndex_," Incorrect number of floatingAccruals given, should be " <<  lastIndex_ << " not " << floatingAccruals.size() );
        QL_REQUIRE(fixedStrikes.size() == lastIndex_," Incorrect number of fixedStrikes given, should be " <<  lastIndex_ << " not " << fixedStrikes.size() );
        QL_REQUIRE(fixedMultipliers.size() == lastIndex_," Incorrect number of fixedMultipliers given, should be " <<  lastIndex_ << " not " << fixedMultipliers.size() );
        QL_REQUIRE(floatingSpreads.size() == lastIndex_," Incorrect number of floatingSpreads given, should be " <<  lastIndex_ << " not " << floatingSpreads.size() );
        QL_REQUIRE(paymentTimes.size() == lastIndex_," Incorrect number of paymentTimes given, should be " <<  lastIndex_ << " not " << paymentTimes.size() );
 
        std::vector<Time> evolTimes(rateTimes);
        evolTimes.pop_back();
 
 
        evolution_ = EvolutionDescription(rateTimes,evolTimes);
    }
 
    bool MarketModelPathwiseInverseFloater::nextTimeStep(
        const CurveState& currentState,
        std::vector<Size>& numberCashFlowsThisStep,
        std::vector<std::vector<MarketModelPathwiseMultiProduct::CashFlow> >& cashFlowsGenerated) 
    {
        numberCashFlowsThisStep[0] =1 ;
        for (Size i=1; i <= lastIndex_; ++i)
            cashFlowsGenerated[0][0].amount[i] =0;
 
        Rate liborRate = currentState.forwardRate(currentIndex_);
        Real inverseFloatingCoupon = std::max((fixedStrikes_[currentIndex_] - fixedMultipliers_[currentIndex_]*liborRate),0.0)*fixedAccruals_[currentIndex_] ;
        Real floatingCoupon = (liborRate+floatingSpreads_[currentIndex_])*floatingAccruals_[currentIndex_];
        cashFlowsGenerated[0][0].timeIndex = currentIndex_;
        cashFlowsGenerated[0][0].amount[0] =multiplier_*(inverseFloatingCoupon - floatingCoupon);
 
 
 
        if (inverseFloatingCoupon > 0.0)
        {
 
            cashFlowsGenerated[0][0].amount[currentIndex_+1] =multiplier_*( - fixedMultipliers_[currentIndex_]*fixedAccruals_[currentIndex_]  - floatingAccruals_[currentIndex_]);
 
 
        }
        else
        {
 
            cashFlowsGenerated[0][0].amount[currentIndex_+1] =-multiplier_*floatingAccruals_[currentIndex_];
 
        }
 
        ++currentIndex_;
 
        return (currentIndex_ == lastIndex_);
 
 
    }
 
    std::unique_ptr<MarketModelPathwiseMultiProduct>
    MarketModelPathwiseInverseFloater::clone() const 
    {
        return std::unique_ptr<MarketModelPathwiseMultiProduct>(new MarketModelPathwiseInverseFloater(*this));
    }
 
    std::vector<Size> MarketModelPathwiseInverseFloater::suggestedNumeraires() const
    {
        std::vector<Size> numeraires(lastIndex_);
        for (Size i=0; i < lastIndex_; ++i)
            numeraires[i] = i;
 
        return numeraires;
    }
 
    const EvolutionDescription& MarketModelPathwiseInverseFloater::evolution() const
    {
        return evolution_;
    }
 
    std::vector<Time> MarketModelPathwiseInverseFloater::possibleCashFlowTimes() const
    {
        return paymentTimes_; 
    }
 
    Size MarketModelPathwiseInverseFloater::numberOfProducts() const
    {
        return 1;
    }
 
    Size MarketModelPathwiseInverseFloater::maxNumberOfCashFlowsPerProductPerStep() const
    {
        return 1;
 
    }
 
    void MarketModelPathwiseInverseFloater::reset()
    {
        currentIndex_=0;
    }
 
}