onestepcoinitialswaps.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 Giorgio Facchinetti
 
 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/curvestate.hpp>
#include <ql/models/marketmodels/products/onestep/onestepcoinitialswaps.hpp>
#include <ql/models/marketmodels/utilities.hpp>
#include <utility>
 
namespace QuantLib {
 
    OneStepCoinitialSwaps::OneStepCoinitialSwaps(const std::vector<Time>& rateTimes,
                                                 std::vector<Real> fixedAccruals,
                                                 std::vector<Real> floatingAccruals,
                                                 const std::vector<Time>& paymentTimes,
                                                 Real fixedRate)
    : MultiProductOneStep(rateTimes), fixedAccruals_(std::move(fixedAccruals)),
      floatingAccruals_(std::move(floatingAccruals)), paymentTimes_(paymentTimes),
      fixedRate_(fixedRate) {
 
        checkIncreasingTimes(paymentTimes);
 
        lastIndex_ = rateTimes.size()-1;
    }
 
    bool OneStepCoinitialSwaps::nextTimeStep(
            const CurveState& currentState,
            std::vector<Size>& numberCashFlowsThisStep,
            std::vector<std::vector<MarketModelMultiProduct::CashFlow> >&
                                                               genCashFlows) {
        std::fill(numberCashFlowsThisStep.begin(),
                  numberCashFlowsThisStep.end(),0);
 
        for (Size indexOfTime=0;indexOfTime<lastIndex_;indexOfTime++) {
            Rate liborRate = currentState.forwardRate(indexOfTime);
            for (Size i=indexOfTime;i<lastIndex_;i++) {
                genCashFlows[i][(indexOfTime)*2].timeIndex = indexOfTime;
                genCashFlows[i][(indexOfTime)*2].amount =
                    -fixedRate_*fixedAccruals_[indexOfTime];
 
                genCashFlows[i][(indexOfTime)*2+1].timeIndex = indexOfTime;
                genCashFlows[i][(indexOfTime)*2+1].amount =
                    liborRate*floatingAccruals_[indexOfTime];
 
                numberCashFlowsThisStep[i] += 2;
            }
        }
        return true ;
    }
 
    std::unique_ptr<MarketModelMultiProduct>
    OneStepCoinitialSwaps::clone() const {
        return std::unique_ptr<MarketModelMultiProduct>(new OneStepCoinitialSwaps(*this));
    }
 
}