asset.cpp

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#include ".\asset.h"


/*------------------------------------------------------*/
/*                 Flow Natural Implementation           */
/*------------------------------------------------------*/

flowSchedule::flowSchedule(void) 
{
        _dateOfFlowPayment=Date();
        _FlowAmountInPercent=0;
        _businessDayConventionOnPaymentDate=Unadjusted;
}

flowSchedule::flowSchedule(Date date,Real percent,BusinessDayConvention bd)
{
        _dateOfFlowPayment=date;
        _FlowAmountInPercent=percent;
        _businessDayConventionOnPaymentDate=bd;                           
}

flowSchedule::~flowSchedule(void)
{
};


/*------------------------------------------------------*/
/*                 Asset Natural Implementation           */
/*------------------------------------------------------*/


asset::asset(void)
{
        _currentPrice=0.0;
        _yc=yieldCurve();
        _areDividendsAsGrowingRate=false;
        _dividendGrowingRate=0.0;
        _announcedDividendFlows=valarray<flowSchedule>();
        _denomCur=USD;
        _volatility=ASSET_DEFAULT_VOL;
}

asset::asset(Real price,yieldCurve yc,bool areDividendsAsRate,Real divRate,valarray<flowSchedule> flowsc,Currency ccy, Real volatility)
{
        _currentPrice=price;
        _yc=yc;
        _areDividendsAsGrowingRate=areDividendsAsRate;
        _dividendGrowingRate=divRate;
        _announcedDividendFlows=flowsc;
        _denomCur=ccy;
        _volatility=volatility;
}

asset::asset(Real price, Real volatility)
{
        _currentPrice=price;
        _volatility=volatility;

        // defaults
        _yc=yieldCurve();
        _areDividendsAsGrowingRate=false;
        _dividendGrowingRate=0.0;
        _announcedDividendFlows=valarray<flowSchedule>();
        _denomCur=USD;
}

Real asset::getRho(Real T){
        Real pu,pd;
        yieldCurve old=_yc,up=_yc.shiftZCBRateCurve(+0.001),down=_yc.shiftZCBRateCurve(-0.001);
        _yc=up;
        pu=forwardPrice(T);
        _yc=down;
        pd=forwardPrice(T);
        _yc=old;
        return (pu-pd)/0.002;
}

Real asset::forwardPrice(Real T){
        Date start;
        start.setDateToToday ();
        return forwardPrice (start.plusDays((Natural)(365*T)));
}

void asset::setDivAsRate(Real rate)
{
        _areDividendsAsGrowingRate=true;
        _dividendGrowingRate =rate;
}

Real asset::Price()
{
        return _currentPrice;
}



Real asset::forwardPrice(Date maturityDate){
        if(_areDividendsAsGrowingRate){
                Date today=Date();
                today.setDateToToday();
                Real timetomaturity=today.dayCount(maturityDate,Day30_360);             
                return _currentPrice*exp(-timetomaturity*_dividendGrowingRate);
        }
        else{
                Real sum=0;
                Natural i = 0;
                while (i<_announcedDividendFlows.size() && _announcedDividendFlows[i].getDate()<=maturityDate){
                        sum+=_announcedDividendFlows[i].getAmount()*_yc.discountFactor(_announcedDividendFlows[i].getDate());
                        i++;
                }
                return _currentPrice*(1-sum);
        }
}

asset::~asset(void)
{
}

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