ratepseudorootjacobian.cpp

Go to the documentation of this file.

/* -*- 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.
*/
 
 
 
#include <ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.hpp>
#include <utility>
 
namespace QuantLib
{
 
 
    RatePseudoRootJacobianNumerical::RatePseudoRootJacobianNumerical(const Matrix& pseudoRoot,
        Size aliveIndex,
        Size numeraire,
        const std::vector<Time>& taus,
        const std::vector<Matrix>& pseudoBumps,
        const std::vector<Spread>& displacements)
        :
    pseudoRoot_(pseudoRoot),
        aliveIndex_(aliveIndex),
        taus_(taus),
        displacements_(displacements),
        numberBumps_(pseudoBumps.size()),
        factors_(pseudoRoot.columns()),
        drifts_(taus.size()),
        bumpedRates_(taus.size())
    {
        Size numberRates= taus.size();
 
        QL_REQUIRE(pseudoRoot_.rows()==numberRates,
            "pseudoRoot_.rows()<> taus.size()");
 
        QL_REQUIRE(displacements_.size()==numberRates,
            "displacements_.size()<> taus.size()");
 
        QL_REQUIRE(drifts_.size()==numberRates,
            "drifts_.size()<> taus.size()");
 
        for (Size i=0; i < pseudoBumps.size(); ++i)
        {
            QL_REQUIRE(pseudoBumps[i].rows()==numberRates,
                "pseudoBumps[i].rows()<> taus.size() with i =" << i);
 
            QL_REQUIRE(pseudoBumps[i].columns()==factors_,
                "pseudoBumps[i].columns()<> factors with i = " << i);
 
 
            Matrix pseudo(pseudoRoot_);
            pseudo += pseudoBumps[i];
            pseudoBumped_.push_back(pseudo);
            driftsComputers_.emplace_back(pseudo, displacements, taus, numeraire, aliveIndex);
        }
 
    }
 
 
    void RatePseudoRootJacobianNumerical::getBumps(const std::vector<Rate>& oldRates,
        const std::vector<Real>& , // not used in the numerical implementation
        const std::vector<Rate>& newRates,
        const std::vector<Real>& gaussians,
        Matrix& B)
    {
        Size numberRates = taus_.size();
 
        QL_REQUIRE(B.rows()==numberBumps_,
            "B.rows()<> numberBumps_");
 
        QL_REQUIRE(B.columns()==taus_.size(),
            "B.columns()<> number of rates");
 
        for (Size i =0; i < numberBumps_; ++i)
        {
            const Matrix& pseudo = pseudoBumped_[i];
            driftsComputers_[i].compute(oldRates,
                drifts_);
 
            for (Size j =0; j < aliveIndex_; ++j)
                B[i][j]=0.0;
 
            for (Size j=aliveIndex_; j < numberRates; ++j)
            {
                bumpedRates_[j] = std::log(oldRates[j]+displacements_[j]);
 
                for (Size k=0; k < factors_; ++k)
                    bumpedRates_[j] += -0.5*pseudo[j][k]*pseudo[j][k];
 
                bumpedRates_[j] +=drifts_[j];
 
                for (Size k=0; k < factors_; ++k)
                    bumpedRates_[j] += pseudo[j][k]*gaussians[k];
 
                bumpedRates_[j] = std::exp(bumpedRates_[j]);
                bumpedRates_[j] -= displacements_[j];
                Real tmp = bumpedRates_[j] - newRates[j];
 
                B[i][j] =  tmp;
            }
        }
 
    }
 
    RatePseudoRootJacobian::RatePseudoRootJacobian(const Matrix& pseudoRoot,
                                                   Size aliveIndex,
                                                   Size numeraire,
                                                   const std::vector<Time>& taus,
                                                   const std::vector<Matrix>& pseudoBumps,
                                                   std::vector<Spread> displacements)
    : pseudoRoot_(pseudoRoot), aliveIndex_(aliveIndex), taus_(taus), pseudoBumps_(pseudoBumps),
      displacements_(std::move(displacements)), numberBumps_(pseudoBumps.size()),
      factors_(pseudoRoot.columns()),
      //   bumpedRates_(taus.size()),
      e_(pseudoRoot.rows(), pseudoRoot.columns()), ratios_(taus_.size()) {
        Size numberRates= taus.size();
 
        QL_REQUIRE(aliveIndex == numeraire,
            "we can do only do discretely compounding MM acount so aliveIndex must equal numeraire");
 
        QL_REQUIRE(pseudoRoot_.rows()==numberRates,
            "pseudoRoot_.rows()<> taus.size()");
 
        QL_REQUIRE(displacements_.size()==numberRates,
            "displacements_.size()<> taus.size()");
 
 
        for (Size i=0; i < pseudoBumps.size(); ++i)
        {
            QL_REQUIRE(pseudoBumps[i].rows()==numberRates,
                "pseudoBumps[i].rows()<> taus.size() with i =" << i);
 
            QL_REQUIRE(pseudoBumps[i].columns()==factors_,
                "pseudoBumps[i].columns()<> factors with i = " << i);
 
 
 
 
        }
 
        for (Size i=0; i < numberRates; ++i)
        {
            allDerivatives_.emplace_back(numberRates, factors_);
        }
    }
 
 
    void RatePseudoRootJacobian::getBumps(const std::vector<Rate>& oldRates,
        const std::vector<Real>& discountRatios,
        const std::vector<Rate>& newRates,
        const std::vector<Real>& gaussians,
        Matrix& B)
    {
          Size numberRates = taus_.size();
 
         QL_REQUIRE(B.rows() == numberBumps_, "we need B.rows() which is " << B.rows() << " to equal numberBumps_ which is "  << numberBumps_);
         QL_REQUIRE(B.columns() == numberRates, "we need B.columns() which is " << B.columns() << " to equal numberRates which is "  << numberRates);
 
 
        for (Size j=aliveIndex_; j < numberRates; ++j)
            ratios_[j] = (oldRates[j] + displacements_[j])*discountRatios[j+1];
 
        for (Size f=0; f < factors_; ++f)
        {
            e_[aliveIndex_][f] = 0;
 
            for (Size j= aliveIndex_+1; j < numberRates; ++j)
                e_[j][f] = e_[j-1][f] + ratios_[j-1]*pseudoRoot_[j-1][f];
        }
 
 
        for (Size f=0; f < factors_; ++f)
            for (Size j=aliveIndex_; j < numberRates; ++j)
            {
                for (Size k= aliveIndex_; k < j ; ++k)
                    allDerivatives_[j][k][f] = newRates[j]*ratios_[k]*taus_[k]*pseudoRoot_[j][f];
 
                // GG don't seem to have the 2, this term is miniscule in any case
                Real tmp = //2*
                    2*ratios_[j]*taus_[j]*pseudoRoot_[j][f];
                tmp -=  pseudoRoot_[j][f];
                tmp += e_[j][f]*taus_[j];
                tmp += gaussians[f];
                tmp *= (newRates[j]+displacements_[j]);
 
 
                allDerivatives_[j][j][f] =tmp;
 
                for (Size k= j+1; k < numberRates ; ++k)
                    allDerivatives_[j][k][f]=0.0;
 
 
            }
 
 
        for (Size i =0; i < numberBumps_; ++i)
        {
            Size j=0;
 
            for (; j < aliveIndex_; ++j)
            {
                B[i][j]=0.0;
            }
            for (; j < numberRates; ++j)
            {
                Real sum =0.0;
 
                for (Size k=aliveIndex_; k < numberRates; ++k)
                    for (Size f=0; f < factors_; ++f)
                        sum += pseudoBumps_[i][k][f]*allDerivatives_[j][k][f];
                B[i][j] =sum;
 
            }
        }
 
    }
 
    RatePseudoRootJacobianAllElements::RatePseudoRootJacobianAllElements(
        const Matrix& pseudoRoot,
        Size aliveIndex,
        Size numeraire,
        const std::vector<Time>& taus,
        std::vector<Spread> displacements)
    : pseudoRoot_(pseudoRoot), aliveIndex_(aliveIndex), taus_(taus),
      displacements_(std::move(displacements)), factors_(pseudoRoot.columns()),
      //   bumpedRates_(taus.size()),
      e_(pseudoRoot.rows(), pseudoRoot.columns()), ratios_(taus_.size()) {
        Size numberRates= taus.size();
 
        QL_REQUIRE(aliveIndex == numeraire,
            "we can do only do discretely compounding MM acount so aliveIndex must equal numeraire");
 
        QL_REQUIRE(pseudoRoot_.rows()==numberRates,
            "pseudoRoot_.rows()<> taus.size()");
 
        QL_REQUIRE(displacements_.size()==numberRates,
            "displacements_.size()<> taus.size()");
    }
 
 
    void RatePseudoRootJacobianAllElements::getBumps(const std::vector<Rate>& oldRates,
        const std::vector<Real>& discountRatios,
        const std::vector<Rate>& newRates,
        const std::vector<Real>& gaussians,
        std::vector<Matrix>& B)
    {
          Size numberRates = taus_.size();
 
           QL_REQUIRE(B.size() == numberRates, "we need B.size() which is " << B.size() << " to equal numberRates which is "  << numberRates);
           for (auto& j : B)
               QL_REQUIRE(j.columns() == factors_ && j.rows() == numberRates,
                          "we need B[j].rows() which is "
                              << j.rows() << " to equal numberRates which is " << numberRates
                              << " and B[j].columns() which is " << j.columns()
                              << " to be equal to factors which is " << factors_);
 
 
           for (Size j = aliveIndex_; j < numberRates; ++j)
               ratios_[j] = (oldRates[j] + displacements_[j]) * discountRatios[j + 1];
 
           for (Size f = 0; f < factors_; ++f) {
               e_[aliveIndex_][f] = 0;
 
               for (Size j = aliveIndex_ + 1; j < numberRates; ++j)
                   e_[j][f] = e_[j - 1][f] + ratios_[j - 1] * pseudoRoot_[j - 1][f];
        }
 
        // nullify B for rates that have already reset
        for (Size j=0; j < aliveIndex_; ++j)
            for (Size k=0; k < numberRates; ++k)
                for (Size f=0; f < factors_; ++f)
                      B[j][k][f] =0.0;
 
 
        for (Size f=0; f < factors_; ++f)
            for (Size j=aliveIndex_; j < numberRates; ++j)
            {
                for (Size k= aliveIndex_; k < j ; ++k)
                    B[j][k][f] = newRates[j]*ratios_[k]*taus_[k]*pseudoRoot_[j][f];
 
                Real tmp = 2*ratios_[j]*taus_[j]*pseudoRoot_[j][f];
                tmp -=  pseudoRoot_[j][f];
                tmp += e_[j][f]*taus_[j];
                tmp += gaussians[f];
                tmp *= (newRates[j]+displacements_[j]);
 
 
                B[j][j][f] =tmp;
 
                for (Size k= 0; k < aliveIndex_ ; ++k)
                    B[j][k][f]=0.0;
 
                for (Size k= j+1; k < numberRates ; ++k)
                    B[j][k][f]=0.0;
 
 
            }
    }
 
    
}