1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2006 Mark Joshi
5 
6  This file is part of QuantLib, a free-software/open-source library
7  for financial quantitative analysts and developers - http://quantlib.org/
8 
9  QuantLib is free software: you can redistribute it and/or modify it
10  under the terms of the QuantLib license.  You should have received a
11  copy of the license along with this program; if not, please email
12  <quantlib-dev@lists.sf.net>. The license is also available online at
13  <http://quantlib.org/license.shtml>.
14 
15  This program is distributed in the hope that it will be useful, but WITHOUT
16  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17  FOR A PARTICULAR PURPOSE.  See the license for more details.
18 */
19 
20 #include <ql/models/marketmodels/products/onestep/onestepforwards.hpp>
21 #include <ql/models/marketmodels/curvestate.hpp>
22 #include <ql/models/marketmodels/utilities.hpp>
23 #include <ql/auto_ptr.hpp>
24 
25 namespace QuantLib {
26 
OneStepForwards(const std::vector<Time> & rateTimes,const std::vector<Real> & accruals,const std::vector<Time> & paymentTimes,const std::vector<Rate> & strikes)27     OneStepForwards::OneStepForwards(const std::vector<Time>& rateTimes,
28                                      const std::vector<Real>& accruals,
29                                      const std::vector<Time>& paymentTimes,
30                                      const std::vector<Rate>& strikes)
31     : MultiProductOneStep(rateTimes), accruals_(accruals),
32       paymentTimes_(paymentTimes), strikes_(strikes) {
33         checkIncreasingTimes(paymentTimes);
34     }
35 
nextTimeStep(const CurveState & currentState,std::vector<Size> & numberCashFlowsThisStep,std::vector<std::vector<MarketModelMultiProduct::CashFlow>> & genCashFlows)36     bool OneStepForwards::nextTimeStep(
37             const CurveState& currentState,
38             std::vector<Size>& numberCashFlowsThisStep,
39             std::vector<std::vector<MarketModelMultiProduct::CashFlow> >&
40                                                                genCashFlows) {
41         for (Size i=0; i<strikes_.size(); ++i) {
42             Rate liborRate = currentState.forwardRate(i);
43             genCashFlows[i][0].timeIndex = i;
44             genCashFlows[i][0].amount =
45                 (liborRate-strikes_[i])*accruals_[i];
46         }
47 
48         std::fill(numberCashFlowsThisStep.begin(),
49                   numberCashFlowsThisStep.end(), 1);
50         return true;
51     }
52 
53     QL_UNIQUE_OR_AUTO_PTR<MarketModelMultiProduct>
clone() const54     OneStepForwards::clone() const {
55         return QL_UNIQUE_OR_AUTO_PTR<MarketModelMultiProduct>(
56                                                   new OneStepForwards(*this));
57     }
58 
59 }
60 
61