pathwiseproductcaplet.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_caplet_hpp
#define quantlib_market_model_pathwise_caplet_hpp
 
#include <ql/types.hpp>
#include <ql/models/marketmodels/pathwisemultiproduct.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
#include <vector>
#include <memory>
 
namespace QuantLib {
 
    class EvolutionDescription;
    class CurveState;
 
    //! market-model pathwise caplet
    /*! implementation of path wise methodology for caplets, essentially a test class
    since we have better ways of computing Greeks of caplets
 
    used in   MarketModelTest::testPathwiseVegas
    and       MarketModelTest::testPathwiseGreeks
 
    */
 
    class MarketModelPathwiseMultiCaplet : public MarketModelPathwiseMultiProduct
    {
     public:
 
       MarketModelPathwiseMultiCaplet(
                          const std::vector<Time>& rateTimes,
                          const std::vector<Real>& accruals,
                          const std::vector<Time>& paymentTimes,
                          const std::vector<Rate>& strikes);
 
       ~MarketModelPathwiseMultiCaplet() 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<Real> accruals_;
        std::vector<Time> paymentTimes_;
        std::vector<Rate> strikes_;
        Size numberRates_;
        // things that vary in a path
        Size currentIndex_;
 
        EvolutionDescription evolution_;
    };
 
    class MarketModelPathwiseMultiDeflatedCaplet : public MarketModelPathwiseMultiProduct
    {
     public:
 
       MarketModelPathwiseMultiDeflatedCaplet(
                          const std::vector<Time>& rateTimes,
                          const std::vector<Real>& accruals,
                          const std::vector<Time>& paymentTimes,
                          const std::vector<Rate>& strikes);
 
       MarketModelPathwiseMultiDeflatedCaplet(const std::vector<Time>& rateTimes,
                                     const std::vector<Real>& accruals,
                                     const std::vector<Time>& paymentTimes,
                                     Rate strike);
 
       ~MarketModelPathwiseMultiDeflatedCaplet() 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<Real> accruals_;
        std::vector<Time> paymentTimes_;
        std::vector<Rate> strikes_;
        Size numberRates_;
        // things that vary in a path
        Size currentIndex_;
 
        EvolutionDescription evolution_;
    };
 
    /*! MarketModelPathwiseMultiDeflatedCap to price several caps and get their derivatives
    simultaneously. Mainly useful for testing pathwise market vegas code.
 
    */
 
  class MarketModelPathwiseMultiDeflatedCap : public MarketModelPathwiseMultiProduct
    {
     public:
       MarketModelPathwiseMultiDeflatedCap(const std::vector<Time>& rateTimes,
                                           const std::vector<Real>& accruals,
                                           const std::vector<Time>& paymentTimes,
                                           Rate strike,
                                           std::vector<std::pair<Size, Size> > startsAndEnds);
 
 
       ~MarketModelPathwiseMultiDeflatedCap() 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:
        MarketModelPathwiseMultiDeflatedCaplet underlyingCaplets_;
 
        Size numberRates_;
 
        std::vector<std::pair<Size,Size> > startsAndEnds_;
 
        // things that vary in a path
        Size currentIndex_;
        std::vector<Size> innerCashFlowSizes_;
        std::vector<std::vector<MarketModelPathwiseMultiProduct::CashFlow> > innerCashFlowsGenerated_;
 
    };
 
 
}
#endif