bermudanswaptionexercisevalue.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 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/callability/bermudanswaptionexercisevalue.hpp>
#include <ql/models/marketmodels/curvestate.hpp>
#include <ql/models/marketmodels/utilities.hpp>
#include <ql/payoff.hpp>
#include <utility>
 
namespace QuantLib {
 
    BermudanSwaptionExerciseValue::BermudanSwaptionExerciseValue(
        const std::vector<Time>& rateTimes, std::vector<ext::shared_ptr<Payoff> > payoffs)
    : numberOfExercises_(rateTimes.empty() ? 0 : rateTimes.size() - 1), rateTimes_(rateTimes),
      payoffs_(std::move(payoffs)) {
 
        checkIncreasingTimes(rateTimes);
        QL_REQUIRE(numberOfExercises_>0,
                   "Rate times must contain at least two values");
        std::vector<Time> evolveTimes(rateTimes_);
        evolveTimes.pop_back();
        evolution_ = EvolutionDescription(rateTimes_,evolveTimes);
    }
 
    Size BermudanSwaptionExerciseValue::numberOfExercises() const {
        return numberOfExercises_;
    }
 
    const EvolutionDescription&
    BermudanSwaptionExerciseValue::evolution() const {
        return evolution_;
    }
 
    std::vector<Time>
    BermudanSwaptionExerciseValue::possibleCashFlowTimes() const {
        return rateTimes_;
    }
 
    void BermudanSwaptionExerciseValue::reset() {
        currentIndex_=0;
    }
 
    void BermudanSwaptionExerciseValue::nextStep(const CurveState& state) {
        const Payoff& p = (*payoffs_[currentIndex_]);
        Real value = state.coterminalSwapAnnuity(currentIndex_, currentIndex_) *
            p(state.coterminalSwapRate(currentIndex_));
 
     //   value /= state.discountRatios()[currentIndex_];
        value =  std::max(value, 0.0);
        cf_.timeIndex = currentIndex_;
        cf_.amount = value;
        ++currentIndex_;
    }
 
 
    std::valarray<bool> BermudanSwaptionExerciseValue::isExerciseTime() const {
        return std::valarray<bool>(true,numberOfExercises_);
    }
 
    MarketModelMultiProduct::CashFlow
    BermudanSwaptionExerciseValue::value(const CurveState& ) const {
         return cf_;
    }
 
    std::unique_ptr<MarketModelExerciseValue>
    BermudanSwaptionExerciseValue::clone() const {
        return std::unique_ptr<MarketModelExerciseValue>(new BermudanSwaptionExerciseValue(*this));
    }
 
}