Class TreeVanillaSwapEngine

Namespace

NanoQL.PricingEngines

Assembly

NanoQL.dll

The tree swap engine: a DiscretizedSwap rolled back to 0 on a short-rate model's lattice.

public static class TreeVanillaSwapEngine

Inheritance

object

TreeVanillaSwapEngine

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

A static class: Calculate runs QuantLib's four steps (playbook §2.1) on the model, an argument where QuantLib's engine holds it, on a lattice built through the swap's mandatory times with the given number of steps, or on a time grid, or on a lattice already built. The swap is initialized at its last mandatory time and rolled back to 0; only its NPV is computed. A floating coupon fixed on or before the reference date is its amount (DiscretizedSwap's public constructor).

The term structure is needed only when the model can't provide one: a model that is an ITermStructureConsistentModel reads its own curve's reference date and day counter.

Methods

Calculate(VanillaSwap, EvaluationContext, ShortRateModel, Lattice, YieldTermStructure?)

Prices a swap on a lattice already built, which the caller reuses across calculations.

public static FixedVsFloatingSwapResults Calculate(VanillaSwap swap, EvaluationContext context, ShortRateModel model, Lattice lattice, YieldTermStructure? termStructure = null)

Parameters

swap VanillaSwap

The swap.

context EvaluationContext

The evaluation context.

model ShortRateModel

The short-rate model, whose curve gives the reference date and day counter of the times.

lattice Lattice

The lattice, which must hold the swap's mandatory times.

termStructure YieldTermStructure

The curve that gives the reference date and day counter of the times, for a model that has no curve of its own; null, QuantLib's empty handle, by default.

Returns

FixedVsFloatingSwapResults

The swap's results, the NPV alone: the expired results when the swap has expired.

Exceptions

ArgumentNullException

An argument but the term structure is null.

NanoQLException

The swap's terms are inconsistent, its nominal isn't constant, a known floating coupon's amount can't be computed, the model has no curve and none is given, the lattice's grid lacks one of the swap's times, or the swap has no time on or after the curve's reference date.

Calculate(VanillaSwap, EvaluationContext, ShortRateModel, TimeGrid, YieldTermStructure?)

Prices a swap on the model's lattice on a time grid.

public static FixedVsFloatingSwapResults Calculate(VanillaSwap swap, EvaluationContext context, ShortRateModel model, TimeGrid timeGrid, YieldTermStructure? termStructure = null)

Parameters

swap VanillaSwap

The swap.

context EvaluationContext

The evaluation context.

model ShortRateModel

The short-rate model.

timeGrid TimeGrid

The time grid, which must hold the swap's mandatory times.

termStructure YieldTermStructure

The curve that gives the reference date and day counter of the times, for a model that has no curve of its own; null, QuantLib's empty handle, by default.

Returns

FixedVsFloatingSwapResults

The swap's results, the NPV alone: the expired results when the swap has expired.

Remarks

The lattice is built first, as QuantLib's engine builds it at construction.

Exceptions

ArgumentNullException

An argument but the term structure is null.

NanoQLException

The model can't build its lattice on the grid, the swap's terms are inconsistent, its nominal isn't constant, a known floating coupon's amount can't be computed, the model has no curve and none is given, or the grid lacks one of the swap's times.

Calculate(VanillaSwap, EvaluationContext, ShortRateModel, int, YieldTermStructure?)

Prices a swap on the model's lattice with a number of time steps through its mandatory times.

public static FixedVsFloatingSwapResults Calculate(VanillaSwap swap, EvaluationContext context, ShortRateModel model, int timeSteps, YieldTermStructure? termStructure = null)

Parameters

swap VanillaSwap

The swap.

context EvaluationContext

The evaluation context.

model ShortRateModel

The short-rate model.

timeSteps int

The number of time steps, positive.

termStructure YieldTermStructure

The curve that gives the reference date and day counter of the times, for a model that has no curve of its own; null, QuantLib's empty handle, by default.

Returns

FixedVsFloatingSwapResults

The swap's results, the NPV alone: the expired results when the swap has expired.

Exceptions

ArgumentNullException

The swap, the context or the model is null.

ArgumentException

timeSteps isn't positive.

NanoQLException

The swap's terms are inconsistent, its nominal isn't constant, a known floating coupon's amount can't be computed, the model has no curve and none is given, or the model can't build its lattice.