Drift.cpp

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#include "../../common\types.h"
#include "./drift.h"
#include <math.h>

Drift::Drift(Date startDate, Real ExpiryInYears,LongNatural& nDates,yieldCurve* pyieldCurve,volsurface* pvolsurface, Real Strike)
                                                                        :       m_nDates(nDates)
{
        vDates.resize(nDates+1);
        Date stepDate=Date();
        //Build dates with constant step
        for (Natural i=0;i<nDates+1;++i) {
                stepDate=startDate.plusDays((Natural)(365*ExpiryInYears*i/nDates));
                vDates[i]=stepDate.serialNumber();
        }
        //Memory allocation for vDrift
        vDrift.resize(nDates);
        //Build drift path according to Ito's formula
        Date startStep,endStep;
        for (i=0;i<nDates;++i) {
                startStep=Date(vDates[i]);
                endStep=Date(vDates[i+1]);
                vDrift[i]=(pyieldCurve->forwardRate(startStep,endStep)-0.5*pow(pvolsurface->forwardVolatility(Strike,startStep,endStep),2))*(vDates[i+1]-vDates[i])/365;
        }
}

Drift::Drift(void)
{
}

Drift::Drift(Date startDate, Real ExpiryInYears,Real rateToMaturity,Real volToMaturity)
{
        m_nDates=1;
        vDates.resize(m_nDates+1);
        Date stepDate=Date();
        //Build dates with constant step -- useless but allocation for the getvDates necessary for Gaussian process.
        for (Natural i=0;i<m_nDates+1;++i) {
                stepDate=startDate.plusDays((Natural)(365*ExpiryInYears*i/m_nDates));
                vDates[i]=stepDate.serialNumber();
        }

        //Memory allocation for vDrift
        vDrift.resize(m_nDates);
        //Build drift path according to Ito's formula
        vDrift[0]=(rateToMaturity-0.5*pow(volToMaturity,2))*ExpiryInYears;
}

Drift::~Drift()
{
}

valarray<Real> Drift::GetvDrift(void)
{
        valarray<Real> Driftarray;
        Driftarray.resize(m_nDates);
        for (Natural i=0;i<m_nDates;++i)
                Driftarray[i]=vDrift[i];
        return Driftarray;
}

Real Drift::GetDriftattimei(LongNatural i)
{
        if (i<m_nDates)
                return vDrift[i];
        else
                return 0.;
}

valarray<LongInteger> Drift::GetvDates(void)
{
        valarray<LongInteger> Datesarray;
        Datesarray.resize(m_nDates+1);
        for (Natural i=0;i<m_nDates+1;++i){
                Datesarray[i]=vDates[i];
        }
        return Datesarray;
}

LongInteger Drift::GetTimeBtwDates(LongNatural i,LongNatural j)
{
        if (i<m_nDates && j<m_nDates)
                return vDates[j]-vDates[i];
        else
                return 0;
}

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