template class xf::fintech::FdG2SwaptionEngine¶
#include "fd_g2_swaption_engine.hpp"
Overview¶
Bermudan swaption pricing engine using Finite-difference methods.
Parameters:
DT | Data type supported including float and double, which decides the precision of the price, and the default data type is double. |
_exSize | The number of exercise time supported in the bermudan swaption prcing engine. |
_xGridMax | The maximum number of locations for x direction in a layout. |
_yGridMax | The maximum number of locations for y direction in a layout. |
_layoutSizeMax | The maximum number of NPVs for each time step to calculate. |
_dt | The gobal variable of dt. |
_shortRate | The gobal variable of short rate to calculate. |
_locationsX | The location of x direction on a mesher. |
_locationsY | The location of y direction on a mesher. |
_initialValues | The vector of npv results by every rollback. |
_g2Model | The model engine based. |
_dxMap | The result of first and second derivative on x. |
_dyMap | The result of first and second derivative on y. |
_corrMap | The result of mixed derivative on x and y direction. |
template < typename DT, Size _exSize, Size _xGridMax, Size _yGridMax, Size _layoutSizeMax = _xGridMax* _yGridMax > class FdG2SwaptionEngine // structs struct NinePointLinear struct TripleBandLinear
Methods¶
init¶
void init ( DT a, DT sigma, DT b, DT eta, DT rho, Size tGrid, Size xGrid, Size yGrid, DT invEps, DT theta, DT mu, DT fixedRate, DT rate, DT nominal, DT stoppingTimes [_exSize+1], DT accrualTime [_exSize+1], DT floatingAccrualPeriod [_exSize+1], DT iborTime [_exSize+1], DT iborPeriod [_exSize+1] )
initilize the private members of class
Parameters:
a | A factor of spreads on interest rates. |
sigma | Overall level of volatility on interest rates. |
b | A factor of spreads on interest rates. |
eta | A factor of interest rates. |
rho | A factor of interest rates. |
tGrid | The steps of npv to calculate. |
xGrid | The numbers of x direction to calculate. |
yGrid | The numbers of y direction to calculate. |
invEps | The epsilon which is used to create the mesher, and the default value should be 1.0e-5. |
theta | Parameter used to build up the differential equation, the pricing engine uses crank-nicolson algorithm, so default value of theta should be 0.5. |
mu | A factor for step. |
nominal | The nominal value of the swap. |
fixedRate | Fixed rate of the swaption. (per year) |
rate | Floating rate of the swaption. (per yaer) |
stoppingTimes | The array which contains every exercise time in sequence with a 0.99 day time point at the front. (the unit should be year) |
accrualTime | The array which contains every payment time in fixed and floating rate. (the unit should be year) |
floatingAccrualPeriod | We support multiple day count convention, so this port is given to users to let them decide what kind of day count convention should be applied when calculating the amount of money in a period. |
iborTime | This array is used to calculate the discount at a specific time point. |
iborPeriod | This port is also given to users to let them decide what kind of day count convention should be applied when calculating the actual floating rate in a period. |