treecapfloorengine.cpp

来自「有很多的函数库」· C++ 代码 · 共 62 行

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 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
 <[e-mail]>. 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/pricingengines/capfloor/treecapfloorengine.hpp>
#include <ql/pricingengines/capfloor/discretizedcapfloor.hpp>
#include <ql/models/shortrate/onefactormodel.hpp>

namespace QuantLib {

    TreeCapFloorEngine::TreeCapFloorEngine(
                               const boost::shared_ptr<ShortRateModel>& model,
                               Size timeSteps)
    : LatticeShortRateModelEngine<CapFloor::arguments,
                                  CapFloor::results >(model,timeSteps){}

    TreeCapFloorEngine::TreeCapFloorEngine(
                               const boost::shared_ptr<ShortRateModel>& model,
                               const TimeGrid& timeGrid)
    : LatticeShortRateModelEngine<CapFloor::arguments,
                                  CapFloor::results>(model,timeGrid) {}

    void TreeCapFloorEngine::calculate() const {

        QL_REQUIRE(model_, "no model specified");

        DiscretizedCapFloor capfloor(arguments_);
        boost::shared_ptr<Lattice> lattice;

        if (lattice_) {
            lattice = lattice_;
        } else {
            std::vector<Time> times = capfloor.mandatoryTimes();
            TimeGrid timeGrid(times.begin(), times.end(), timeSteps_);
            lattice = model_->tree(timeGrid);
        }

        capfloor.initialize(lattice, arguments_.endTimes.back());
        capfloor.rollback(arguments_.startTimes.front());

        results_.value = capfloor.presentValue();
    }

}