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Minor refactoring of affine
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@eddelbuettel
eddelbuettel committed Jul 14, 2024
1 parent bb734b5 commit f31cf58
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Showing 2 changed files with 37 additions and 37 deletions.
2 changes: 2 additions & 0 deletions ChangeLog
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Original file line number Diff line number Diff line change
Expand Up @@ -9,6 +9,8 @@

* inst/include/rquantlib_internal.h: Move qlext namespace defintion

* src/affine.cpp: Minor refactoring and C++ update

2024-07-13 Dirk Eddelbuettel <[email protected]>

* src/asian.cpp: Minor refactoring and C++ update
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72 changes: 35 additions & 37 deletions src/affine.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -102,8 +102,7 @@ Rcpp::List affineWithRebuiltCurveEngine(Rcpp::List rparam,
QuantLib::BusinessDayConvention fixedLegConvention = QuantLib::Unadjusted;
QuantLib::BusinessDayConvention floatingLegConvention = QuantLib::ModifiedFollowing;
QuantLib::DayCounter swFixedLegDayCounter = getDayCounter(Rcpp::as<double>(legparams["dayCounter"]));
QuantLib::ext::shared_ptr<QuantLib::IborIndex> swFloatingLegIndex(new QuantLib::Euribor(QuantLib::Period(Rcpp::as<int>(legparams["floatFreq"]),QuantLib::Months),rhTermStructure));

auto swFloatingLegIndex = qlext::make_shared<QuantLib::Euribor>(QuantLib::Period(Rcpp::as<int>(legparams["floatFreq"]),QuantLib::Months),rhTermStructure);

QuantLib::Rate dummyFixedRate = 0.03;

Expand All @@ -123,12 +122,11 @@ Rcpp::List affineWithRebuiltCurveEngine(Rcpp::List rparam,
else {
type = QuantLib::VanillaSwap::Receiver;
}
QuantLib::ext::shared_ptr<QuantLib::VanillaSwap>
swap(new QuantLib::VanillaSwap(type, notional,
fixedSchedule, dummyFixedRate, swFixedLegDayCounter,
floatSchedule, swFloatingLegIndex, 0.0,
swFloatingLegIndex->dayCounter()));
swap->setPricingEngine(QuantLib::ext::shared_ptr<QuantLib::PricingEngine>(new QuantLib::DiscountingSwapEngine(rhTermStructure)));
auto swap = qlext::make_shared<QuantLib::VanillaSwap>(type, notional, fixedSchedule, dummyFixedRate,
swFixedLegDayCounter,
floatSchedule, swFloatingLegIndex, 0.0,
swFloatingLegIndex->dayCounter());
swap->setPricingEngine(qlext::make_shared<QuantLib::DiscountingSwapEngine>(rhTermStructure));

// Find the ATM or break-even rate
QuantLib::Rate fixedATMRate = swap->fairRate();
Expand All @@ -140,12 +138,11 @@ Rcpp::List affineWithRebuiltCurveEngine(Rcpp::List rparam,
fixedRate = strike;

// The swap underlying the Affine swaption.
QuantLib::ext::shared_ptr<QuantLib::VanillaSwap>
mySwap(new QuantLib::VanillaSwap(type, notional,
fixedSchedule, fixedRate,swFixedLegDayCounter,
floatSchedule, swFloatingLegIndex, 0.0,
swFloatingLegIndex->dayCounter()));
swap->setPricingEngine(QuantLib::ext::shared_ptr<QuantLib::PricingEngine>(new QuantLib::DiscountingSwapEngine(rhTermStructure)));
auto mySwap = qlext::make_shared<QuantLib::VanillaSwap>(type, notional, fixedSchedule,
fixedRate,swFixedLegDayCounter,
floatSchedule, swFloatingLegIndex, 0.0,
swFloatingLegIndex->dayCounter());
swap->setPricingEngine(qlext::make_shared<QuantLib::DiscountingSwapEngine>(rhTermStructure));


// Build swaptions that will be used to calibrate model to
Expand All @@ -160,16 +157,17 @@ Rcpp::List affineWithRebuiltCurveEngine(Rcpp::List rparam,
// List of times that have to be included in the timegrid
std::list<QuantLib::Time> times;
for (i=0; i<(QuantLib::Size)numRows; i++) {
//QuantLib::ext::shared_ptr<QuantLib::Quote> vol(new QuantLib::SimpleQuote(swaptionVols[i][numCols-i-1]));
QuantLib::ext::shared_ptr<QuantLib::Quote> vol(new QuantLib::SimpleQuote(swaptionVols(i)));
swaptions.push_back(QuantLib::ext::shared_ptr<QuantLib::BlackCalibrationHelper>(new QuantLib::SwaptionHelper(swaptionMaturities[i],
QuantLib::Period(swapLengths[i], QuantLib::Years),
QuantLib::Handle<QuantLib::Quote>(vol),
swFloatingLegIndex,
swFloatingLegIndex->tenor(),
swFloatingLegIndex->dayCounter(),
swFloatingLegIndex->dayCounter(),
rhTermStructure)));
auto vol = qlext::make_shared<QuantLib::SimpleQuote>(swaptionVols(i));
auto sh = qlext::make_shared<QuantLib::SwaptionHelper>(swaptionMaturities[i],
QuantLib::Period(swapLengths[i],
QuantLib::Years),
QuantLib::Handle<QuantLib::Quote>(vol),
swFloatingLegIndex,
swFloatingLegIndex->tenor(),
swFloatingLegIndex->dayCounter(),
swFloatingLegIndex->dayCounter(),
rhTermStructure);
swaptions.push_back(sh);
swaptions.back()->addTimesTo(times);
}

Expand All @@ -191,16 +189,16 @@ Rcpp::List affineWithRebuiltCurveEngine(Rcpp::List rparam,

}

QuantLib::ext::shared_ptr<QuantLib::Exercise> affineExercise(new QuantLib::BermudanExercise(affineDates));
auto affineExercise = qlext::make_shared<QuantLib::BermudanExercise>(affineDates);

// Price based on method selected.
if (method.compare("G2Analytic") == 0) {
QuantLib::ext::shared_ptr<QuantLib::G2> modelG2(new QuantLib::G2(rhTermStructure));
auto modelG2 = qlext::make_shared<QuantLib::G2>(rhTermStructure);
Rprintf((char*)"G2/Jamshidian (analytic) calibration\n");
for(i = 0; i < swaptions.size(); i++)
swaptions[i]->setPricingEngine(QuantLib::ext::shared_ptr<QuantLib::PricingEngine>(new QuantLib::G2SwaptionEngine(modelG2, 6.0, 16)));
swaptions[i]->setPricingEngine(qlext::make_shared<QuantLib::G2SwaptionEngine>(modelG2, 6.0, 16));
calibrateModel2(modelG2, swaptions, 0.05, swaptionMat, swapLengths, swaptionVols);
QuantLib::ext::shared_ptr<QuantLib::PricingEngine> engine(new QuantLib::TreeSwaptionEngine(modelG2, 50));
auto engine = qlext::make_shared<QuantLib::TreeSwaptionEngine>(modelG2, 50);
QuantLib::Swaption affineSwaption(mySwap, affineExercise);
affineSwaption.setPricingEngine(engine);
return Rcpp::List::create(Rcpp::Named("a") = modelG2->params()[0],
Expand All @@ -213,12 +211,12 @@ Rcpp::List affineWithRebuiltCurveEngine(Rcpp::List rparam,
//Rcpp::Named("params") = params);

} else if (method.compare("HWAnalytic") == 0) {
QuantLib::ext::shared_ptr<QuantLib::HullWhite> modelHW(new QuantLib::HullWhite(rhTermStructure));
auto modelHW = qlext::make_shared<QuantLib::HullWhite>(rhTermStructure);
Rprintf((char*)"Hull-White (analytic) calibration\n");
for (i=0; i<swaptions.size(); i++)
swaptions[i]->setPricingEngine(QuantLib::ext::shared_ptr<QuantLib::PricingEngine>(new QuantLib::JamshidianSwaptionEngine(modelHW)));
swaptions[i]->setPricingEngine(qlext::make_shared<QuantLib::JamshidianSwaptionEngine>(modelHW));
calibrateModel2(modelHW, swaptions, 0.05, swaptionMat, swapLengths, swaptionVols);
QuantLib::ext::shared_ptr<QuantLib::PricingEngine> engine(new QuantLib::TreeSwaptionEngine(modelHW, 50));
auto engine = qlext::make_shared<QuantLib::TreeSwaptionEngine>(modelHW, 50);
QuantLib::Swaption affineSwaption(mySwap, affineExercise);
affineSwaption.setPricingEngine(engine);
return Rcpp::List::create(Rcpp::Named("a") = modelHW->params()[0],
Expand All @@ -228,13 +226,13 @@ Rcpp::List affineWithRebuiltCurveEngine(Rcpp::List rparam,
//Rcpp::Named("params") = params);

} else if (method.compare("HWTree") == 0) {
QuantLib::ext::shared_ptr<QuantLib::HullWhite> modelHW2(new QuantLib::HullWhite(rhTermStructure));
auto modelHW2 = qlext::make_shared<QuantLib::HullWhite>(rhTermStructure);
Rprintf((char*)"Hull-White (tree) calibration\n");
for (i=0; i<swaptions.size(); i++)
swaptions[i]->setPricingEngine(QuantLib::ext::shared_ptr<QuantLib::PricingEngine>(new QuantLib::TreeSwaptionEngine(modelHW2,grid)));
swaptions[i]->setPricingEngine(qlext::make_shared<QuantLib::TreeSwaptionEngine>(modelHW2,grid));

calibrateModel2(modelHW2, swaptions, 0.05, swaptionMat, swapLengths, swaptionVols);
QuantLib::ext::shared_ptr<QuantLib::PricingEngine> engine(new QuantLib::TreeSwaptionEngine(modelHW2, 50));
auto engine = qlext::make_shared<QuantLib::TreeSwaptionEngine>(modelHW2, 50);
QuantLib::Swaption affineSwaption(mySwap, affineExercise);
affineSwaption.setPricingEngine(engine);
return Rcpp::List::create(Rcpp::Named("a") = modelHW2->params()[0],
Expand All @@ -245,13 +243,13 @@ Rcpp::List affineWithRebuiltCurveEngine(Rcpp::List rparam,


} else if (method.compare("BKTree") == 0) {
QuantLib::ext::shared_ptr<QuantLib::BlackKarasinski> modelBK(new QuantLib::BlackKarasinski(rhTermStructure));
auto modelBK = qlext::make_shared<QuantLib::BlackKarasinski>(rhTermStructure);
Rprintf((char*)"Black-Karasinski (tree) calibration\n");
for (i=0; i<swaptions.size(); i++)
swaptions[i]->setPricingEngine(QuantLib::ext::shared_ptr<QuantLib::PricingEngine>(new QuantLib::TreeSwaptionEngine(modelBK,grid)));
swaptions[i]->setPricingEngine(qlext::make_shared<QuantLib::TreeSwaptionEngine>(modelBK,grid));
calibrateModel2(modelBK, swaptions, 0.05, swaptionMat, swapLengths, swaptionVols);

QuantLib::ext::shared_ptr<QuantLib::PricingEngine> engine(new QuantLib::TreeSwaptionEngine(modelBK, 50));
auto engine = qlext::make_shared<QuantLib::TreeSwaptionEngine>(modelBK, 50);
QuantLib::Swaption affineSwaption(mySwap, affineExercise);
affineSwaption.setPricingEngine(engine);
return Rcpp::List::create(Rcpp::Named("a") = modelBK->params()[0],
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