lognormalcotswapratepc.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Marco Bianchetti
 Copyright (C) 2007 Cristina Duminuco
 
 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.
*/
 
#ifndef quantlib_coterminalswap_rate_pc_evolver_hpp
#define quantlib_coterminalswap_rate_pc_evolver_hpp
 
#include <ql/models/marketmodels/evolver.hpp>
#include <ql/models/marketmodels/curvestates/coterminalswapcurvestate.hpp>
#include <ql/models/marketmodels/driftcomputation/smmdriftcalculator.hpp>
 
namespace QuantLib {
 
    class MarketModel;
    class BrownianGenerator;
    class BrownianGeneratorFactory;
 
    //! Predictor-Corrector
    class LogNormalCotSwapRatePc : public MarketModelEvolver {
      public:
        LogNormalCotSwapRatePc(const ext::shared_ptr<MarketModel>&,
                               const BrownianGeneratorFactory&,
                               const std::vector<Size>& numeraires,
                               Size initialStep = 0);
        //! \name MarketModel interface
        //@{
        const std::vector<Size>& numeraires() const override;
        Real startNewPath() override;
        Real advanceStep() override;
        Size currentStep() const override;
        const CurveState& currentState() const override;
        void setInitialState(const CurveState&) override;
        //@}
      private:
        void setCoterminalSwapRates(const std::vector<Real>& swapRates);
        // inputs
        ext::shared_ptr<MarketModel> marketModel_;
        std::vector<Size> numeraires_;
        Size initialStep_;
        ext::shared_ptr<BrownianGenerator> generator_;
        // fixed variables
        std::vector<std::vector<Real> > fixedDrifts_;
         // working variables
        Size numberOfRates_, numberOfFactors_;
        CoterminalSwapCurveState curveState_;
        Size currentStep_;
        std::vector<Rate> swapRates_, displacements_, logSwapRates_, initialLogSwapRates_;
        std::vector<Real> drifts1_, drifts2_, initialDrifts_;
        std::vector<Real> brownians_, correlatedBrownians_;
        std::vector<Size> alive_;
        // helper classes
        std::vector<SMMDriftCalculator> calculators_;
    };
 
}
 
#endif