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accountingengine.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/accountingengine.hpp>
#include <ql/models/marketmodels/discounter.hpp>
#include <ql/models/marketmodels/evolver.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
#include <ql/models/marketmodels/curvestate.hpp>
#include <algorithm>

namespace QuantLib {

    AccountingEngine::AccountingEngine(
                         const boost::shared_ptr<MarketModelEvolver>& evolver,
                         const Clone<MarketModelMultiProduct>& product,
                         Real initialNumeraireValue)
    : evolver_(evolver), product_(product),
      initialNumeraireValue_(initialNumeraireValue),
      numberProducts_(product->numberOfProducts()),
      numerairesHeld_(product->numberOfProducts()),
      numberCashFlowsThisStep_(product->numberOfProducts()),
      cashFlowsGenerated_(product->numberOfProducts()) {
        for (Size i=0; i<numberProducts_; ++i)
            cashFlowsGenerated_[i].resize(
                       product_->maxNumberOfCashFlowsPerProductPerStep());

        const std::vector<Time>& cashFlowTimes =
            product_->possibleCashFlowTimes();
        const std::vector<Rate>& rateTimes = product_->evolution().rateTimes();
        discounters_.reserve(cashFlowTimes.size());
        for (Size j=0; j<cashFlowTimes.size(); ++j)
            discounters_.push_back(MarketModelDiscounter(cashFlowTimes[j],
                                                         rateTimes));

    }

    Real AccountingEngine::singlePathValues(std::vector<Real>& values) {
        std::fill(numerairesHeld_.begin(), numerairesHeld_.end(), 0.0);
        Real weight = evolver_->startNewPath();
        product_->reset();
        Real principalInNumerairePortfolio = 1.0;

        bool done = false;
        do {
            Size thisStep = evolver_->currentStep();
            weight *= evolver_->advanceStep();
            done = product_->nextTimeStep(evolver_->currentState(),
                                          numberCashFlowsThisStep_,
                                          cashFlowsGenerated_);
            Size numeraire =
                evolver_->numeraires()[thisStep];

            // for each product...
            for (Size i=0; i<numberProducts_; ++i) {
                // ...and each cash flow...
                const std::vector<MarketModelMultiProduct::CashFlow>& cashflows =
                    cashFlowsGenerated_[i];
                for (Size j=0; j<numberCashFlowsThisStep_[i]; ++j) {
                    // ...convert the cash flow to numeraires.
                    // This is done by calculating the number of
                    // numeraire bonds corresponding to such cash flow...
                    const MarketModelDiscounter& discounter =
                        discounters_[cashflows[j].timeIndex];

                    Real bonds = cashflows[j].amount *
                        discounter.numeraireBonds(evolver_->currentState(),
                                                  numeraire);

                    // ...and adding the newly bought bonds to the number
                    // of numeraires held.
                    numerairesHeld_[i] += bonds/principalInNumerairePortfolio;
                }
            }

            if (!done) {

                // The numeraire might change between steps. This implies
                // that we might have to convert the numeraire bonds for
                // this step into a corresponding amount of numeraire
                // bonds for the next step. This can be done by changing
                // the principal of the numeraire and updating the number
                // of bonds in the numeraire portfolio accordingly.

                Size nextNumeraire = evolver_->numeraires()[thisStep+1];

                principalInNumerairePortfolio *=
                    evolver_->currentState().discountRatio(numeraire,
                                                           nextNumeraire);
            }

        } while (!done);

        for (Size i=0; i<numerairesHeld_.size(); ++i)
            values[i] = numerairesHeld_[i] * initialNumeraireValue_;

        return weight;
    }

    void AccountingEngine::multiplePathValues(SequenceStatistics& stats,
                                              Size numberOfPaths)
    {
        std::vector<Real> values(product_->numberOfProducts());
        for (Size i=0; i<numberOfPaths; ++i) {
            Real weight = singlePathValues(values);
            stats.add(values,weight);
        }
    }

}

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