template class xf::fintech::FdHullWhiteEngine

#include "fd_hullwhite_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.
_ETSizeMax	The maximum number of exercise time supported in the bermudan swaption prcing engine.
_xGridMax	The maximum number of NPVs for each time step to calculate.
_legPSizeMax	The maximum number of times that payer should pay for the swaption in fixed rate. (depends on payment period)
_legRSizeMax	The maximum number of times that payer should receive from the swaption in floating rate. (depends on payment period)

template <
    typename DT,
    unsigned int _ETSizeMax,
    unsigned int _xGridMax,
    unsigned int _legPSizeMax,
    unsigned int _legRSizeMax
    >
class FdHullWhiteEngine

// fields

DT array_[_xGridMax]

Methods

engineInitialization

void engineInitialization (
    DT stoppingTimes [_ETSizeMax+1],
    DT payerAccrualTime [_legPSizeMax+1],
    DT receiverAccrualTime [_legRSizeMax+1],
    DT receiverAccrualPeriod [_legRSizeMax+1],
    DT iborTime [_legRSizeMax+1],
    DT iborPeriod [_legRSizeMax+1],
    unsigned int ETSize,
    unsigned int xGrid,
    unsigned int legPSize,
    unsigned int legRSize,
    DT a,
    DT sigma,
    DT theta,
    DT nominal,
    DT fixedRate,
    DT floatingRate
    )

This function is used to build up the FDM equation, and calculate the initialValues(NPVs at maturity), meanwhile, read several initial values from DDR to RAMs or registers.

@param 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)
@param payerAccrualTime The array which contains every payment time in fixed rate. (the unit should be year)
@param receiverAccrualTime The array which contains every payment time in floating rate. (the unit should be

year)

Parameters:

receiverAccrualPeriod	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.
ETSize	The actual number of exercise time in the bermudan swaption.
xGrid	The actual number of NPVs for each time step to calculate.
legPSize	The actual number of times that payer should pay for the swaption in fixed rate. (depends on payment period)
legRSize	The actual number of times that payer should receive from the swaption in floating rate. (depends on payment period)
a	Spreads on interest rates.
sigma	Overall level of volatility on interest rates.
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
nominal	The nominal value of the swap.
fixedRate	Fixed rate of the swaption. (per year)
floatingRate	Floating rate of the swaption. (per yaer)

rollbackImplementation

DT rollbackImplementation (
    DT array [_xGridMax],
    DT from,
    DT to,
    unsigned int tGrid
    )

This function perform the main rolling back process in bermudan swaption pricing.

Parameters:

array	NPVs at a specific time point.
from	Start time point of evolve back process.
to	End time point of evolve back process.
tGrid	Number of time steps from maturity to settlement date.