pathwiseproductswaption.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 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.
*/
 
 
#ifndef quantlib_market_model_pathwise_swaption_hpp
#define quantlib_market_model_pathwise_swaption_hpp
 
#include <ql/types.hpp>
#include <ql/models/marketmodels/pathwisemultiproduct.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
#include <ql/models/marketmodels/curvestates/lmmcurvestate.hpp>
#include <vector>
#include <memory>
 
namespace QuantLib {
 
    class EvolutionDescription;
    class CurveState;
 
    /*!
    Main use is to test market pathwise vegas. The swaptions are payers and co-terminal.
    The class is tested in TestPathwiseVegas by running against the numerical version below.
    */
class MarketModelPathwiseCoterminalSwaptionsDeflated : public MarketModelPathwiseMultiProduct
    {
     public:
 
       MarketModelPathwiseCoterminalSwaptionsDeflated(
                          const std::vector<Time>& rateTimes,
                          const std::vector<Rate>& strikes);
 
       ~MarketModelPathwiseCoterminalSwaptionsDeflated() override = default;
 
       std::vector<Size> suggestedNumeraires() const override;
       const EvolutionDescription& evolution() const override;
       std::vector<Time> possibleCashFlowTimes() const override;
       Size numberOfProducts() const override;
       Size maxNumberOfCashFlowsPerProductPerStep() const override;
 
       // has division by the numeraire already been done?
       bool alreadyDeflated() const override;
 
 
       //! during simulation put product at start of path
       void reset() override;
 
       //! return value indicates whether path is finished, TRUE means done
       bool nextTimeStep(const CurveState& currentState,
                         std::vector<Size>& numberCashFlowsThisStep,
                         std::vector<std::vector<MarketModelPathwiseMultiProduct::CashFlow> >&
                             cashFlowsGenerated) override;
 
        //! returns a newly-allocated copy of itself
        std::unique_ptr<MarketModelPathwiseMultiProduct> clone() const override;
 
    private:
        std::vector<Real> rateTimes_;
        std::vector<Rate> strikes_;
        Size numberRates_;
        // things that vary in a path
        Size currentIndex_;
 
        EvolutionDescription evolution_;
    };
 
  /*!
  Easiest way to test MarketModelPathwiseCoterminalSwaptionsDeflated is by doing a numerical differentiation version.
 
  */
class MarketModelPathwiseCoterminalSwaptionsNumericalDeflated : public MarketModelPathwiseMultiProduct
    {
     public:
 
       MarketModelPathwiseCoterminalSwaptionsNumericalDeflated(
                          const std::vector<Time>& rateTimes,
                          const std::vector<Rate>& strikes,
                          Real bumpSize_);
 
       ~MarketModelPathwiseCoterminalSwaptionsNumericalDeflated() override = default;
 
       std::vector<Size> suggestedNumeraires() const override;
       const EvolutionDescription& evolution() const override;
       std::vector<Time> possibleCashFlowTimes() const override;
       Size numberOfProducts() const override;
       Size maxNumberOfCashFlowsPerProductPerStep() const override;
 
       // has division by the numeraire already been done?
       bool alreadyDeflated() const override;
 
 
       //! during simulation put product at start of path
       void reset() override;
 
       //! return value indicates whether path is finished, TRUE means done
       bool nextTimeStep(const CurveState& currentState,
                         std::vector<Size>& numberCashFlowsThisStep,
                         std::vector<std::vector<MarketModelPathwiseMultiProduct::CashFlow> >&
                             cashFlowsGenerated) override;
 
        //! returns a newly-allocated copy of itself
        std::unique_ptr<MarketModelPathwiseMultiProduct> clone() const override;
 
    private:
        std::vector<Real> rateTimes_;
        std::vector<Rate> strikes_;
        Size numberRates_;
        // things that vary in a path
        Size currentIndex_;
 
        EvolutionDescription evolution_;
 
        Real bumpSize_;
        LMMCurveState up_;
        LMMCurveState down_;
        std::vector<Rate> forwards_;
    };
 
 
 
 
}
 
 
#endif