fdmaffinemodelswapinnervalue.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2011 Klaus Spanderen
 
 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.
*/
 
/*! \file fdmaffinemodelswapinnervalue.hpp
*/
 
#ifndef quantlib_fdm_affine_model_swap_inner_value_hpp
#define quantlib_fdm_affine_model_swap_inner_value_hpp
 
#include <ql/cashflows/coupon.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/instruments/vanillaswap.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <map>
#include <utility>
 
namespace QuantLib {
 
    template <class ModelType>
    class FdmAffineModelSwapInnerValue : public FdmInnerValueCalculator {
      public:
        FdmAffineModelSwapInnerValue(ext::shared_ptr<ModelType> disModel,
                                     ext::shared_ptr<ModelType> fwdModel,
                                     const ext::shared_ptr<FixedVsFloatingSwap>& swap,
                                     std::map<Time, Date> exerciseDates,
                                     ext::shared_ptr<FdmMesher> mesher,
                                     Size direction);
 
        Real innerValue(const FdmLinearOpIterator& iter, Time t) override;
        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) override;
 
      private:
        Array getState(const ext::shared_ptr<ModelType>& model,
                       Time t,
                       const FdmLinearOpIterator& iter) const;
 
        RelinkableHandle<YieldTermStructure> disTs_, fwdTs_;
        const ext::shared_ptr<ModelType> disModel_, fwdModel_;
 
        const ext::shared_ptr<IborIndex> index_;
        const ext::shared_ptr<FixedVsFloatingSwap> swap_;
        const std::map<Time, Date> exerciseDates_;
        const ext::shared_ptr<FdmMesher> mesher_;
        const Size direction_;
    };
 
    template <class ModelType>
    inline FdmAffineModelSwapInnerValue<ModelType>::FdmAffineModelSwapInnerValue(
        ext::shared_ptr<ModelType> disModel,
        ext::shared_ptr<ModelType> fwdModel,
        const ext::shared_ptr<FixedVsFloatingSwap>& swap,
        std::map<Time, Date> exerciseDates,
        ext::shared_ptr<FdmMesher> mesher,
        Size direction)
    : disModel_(std::move(disModel)), fwdModel_(std::move(fwdModel)), index_(swap->iborIndex()),
      swap_(ext::make_shared<VanillaSwap>(swap->type(),
                                          swap->nominal(),
                                          swap->fixedSchedule(),
                                          swap->fixedRate(),
                                          swap->fixedDayCount(),
                                          swap->floatingSchedule(),
                                          swap->iborIndex()->clone(fwdTs_),
                                          swap->spread(),
                                          swap->floatingDayCount(),
                                          swap->paymentConvention())),
      exerciseDates_(std::move(exerciseDates)), mesher_(std::move(mesher)), direction_(direction) {}
 
    template <class ModelType> inline
    Real FdmAffineModelSwapInnerValue<ModelType>::innerValue(
        const FdmLinearOpIterator& iter, Time t) {
 
        const Date& iterExerciseDate = exerciseDates_.find(t)->second;
 
        const Array disRate(getState(disModel_, t, iter));
        const Array fwdRate(getState(fwdModel_, t, iter));
 
        if (disTs_.empty() || iterExerciseDate != disTs_->referenceDate()) {
 
            const Handle<YieldTermStructure> discount
                = disModel_->termStructure();
 
            disTs_.linkTo(ext::shared_ptr<YieldTermStructure>(
                new FdmAffineModelTermStructure(disRate,
                    discount->calendar(), discount->dayCounter(),
                    iterExerciseDate, discount->referenceDate(),
                    disModel_)));
 
            const Handle<YieldTermStructure> fwd = fwdModel_->termStructure();
 
            fwdTs_.linkTo(ext::shared_ptr<YieldTermStructure>(
                new FdmAffineModelTermStructure(fwdRate,
                    fwd->calendar(), fwd->dayCounter(),
                    iterExerciseDate, fwd->referenceDate(),
                    fwdModel_)));
 
        }
        else {
            ext::dynamic_pointer_cast<FdmAffineModelTermStructure>(
                disTs_.currentLink())->setVariable(disRate);
            ext::dynamic_pointer_cast<FdmAffineModelTermStructure>(
                fwdTs_.currentLink())->setVariable(fwdRate);
        }
 
        Real npv = 0.0;
        for (Size j = 0; j < 2; j++) {
            for (const auto& i : swap_->leg(j)) {
                npv +=
                    ext::dynamic_pointer_cast<Coupon>(i)->accrualStartDate() >= iterExerciseDate ?
                        Real(i->amount() * disTs_->discount(i->date())) :
                        0.0;
            }
            if (j == 0)
                npv *= -1.0;
        }
        if (swap_->type() == Swap::Receiver)
            npv *= -1.0;
 
        return std::max(0.0, npv);
    }
 
    template <class ModelType> inline
    Real FdmAffineModelSwapInnerValue<ModelType>::avgInnerValue(
        const FdmLinearOpIterator& iter, Time t) {
        return innerValue(iter, t);
    }
 
}
#endif