pseudorootfacade.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Ferdinando Ametrano
 Copyright (C) 2007 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/math/matrixutilities/pseudosqrt.hpp>
#include <ql/models/marketmodels/models/pseudorootfacade.hpp>
#include <ql/models/marketmodels/utilities.hpp>
#include <utility>
 
namespace QuantLib {
 
    PseudoRootFacade::PseudoRootFacade(const ext::shared_ptr<CTSMMCapletCalibration>& c)
    : numberOfFactors_(c->swapPseudoRoots().front().columns()),
      numberOfRates_(c->swapPseudoRoots().front().rows()),
      numberOfSteps_(c->swapPseudoRoots().size()),
      initialRates_(c->curveState()->coterminalSwapRates()), displacements_(c->displacements()),
      evolution_(c->curveState()->rateTimes()), covariancePseudoRoots_(c->swapPseudoRoots()) {}
 
 
    PseudoRootFacade::PseudoRootFacade(const std::vector<Matrix>& covariancePseudoRoots,
                                       const std::vector<Rate>& rateTimes,
                                       std::vector<Rate> initialRates,
                                       const std::vector<Spread>& displacements)
    : numberOfFactors_(covariancePseudoRoots.front().columns()),
      numberOfRates_(covariancePseudoRoots.front().rows()),
      numberOfSteps_(covariancePseudoRoots.size()), initialRates_(std::move(initialRates)),
      displacements_(displacements), evolution_(rateTimes),
      covariancePseudoRoots_(covariancePseudoRoots) {
        checkIncreasingTimes(rateTimes);
        QL_REQUIRE(rateTimes.size()>1,
                   "Rate times must contain at least two values");
        QL_REQUIRE(numberOfRates_==rateTimes.size()-1,
                   "mismatch between number of rates (" << numberOfRates_ <<
                   ") and rate times");
        QL_REQUIRE(numberOfRates_==displacements.size(),
                   "mismatch between number of rates (" << numberOfRates_ <<
                   ") and displacements (" << displacements.size() << ")");
        QL_REQUIRE(numberOfRates_<=numberOfFactors_*numberOfSteps_,
                   "number of rates (" << numberOfRates_ <<
                   ") greater than number of factors (" << numberOfFactors_
                   << ") times number of steps (" << numberOfSteps_ << ")");
 
        // evolutionTimes are not given for the time being
        QL_REQUIRE(numberOfRates_==covariancePseudoRoots.size(),
                   "number of rates (" << numberOfRates_ <<
                   ") must be equal to covariancePseudoRoots.size() (" <<
                   covariancePseudoRoots.size() << ")");
 
        for (Size k=0; k<numberOfSteps_; ++k) {
            QL_REQUIRE(covariancePseudoRoots_[k].rows()==numberOfRates_,
                       "step " << k
                       << ": pseudoRoot has wrong number of rows: "
                       << covariancePseudoRoots_[k].rows()
                       << " instead of " << numberOfRates_);
            // not really mandatory
            QL_REQUIRE(covariancePseudoRoots_[k].columns()==numberOfFactors_,
                       "step " << k
                       << ": pseudoRoot has wrong number of columns: "
                       << covariancePseudoRoots_[k].columns()
                       << " instead of " << numberOfFactors_);
        }
    }
}