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Precompute annuities #1965

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May 9, 2024
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Precompute annuities #1965

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9 changes: 7 additions & 2 deletions ql/models/marketmodels/driftcomputation/smmdriftcalculator.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -83,14 +83,19 @@ namespace QuantLib {
// assuming terminal bond measure
// eq 5.4-5.7
const std::vector<Time>& taus=cs.rateTaus();
std::vector<Real> annuities(numberOfRates_);

for (Size j=0; j<numberOfRates_; ++j) {
annuities[j] = cs.coterminalSwapAnnuity(numberOfRates_, j);
}
for (Size k=0; k<numberOfFactors_; ++k) {
// taken care in the constructor
// wkpj1_[k][numberOfRates_-1]= 0.0;
// wkaj_[k][numberOfRates_-1] = 0.0;
for (Integer j=numberOfRates_-2; j>=static_cast<Integer>(alive_)-1; --j) {
// < W(k) | P(j+1)/P(n) > =
// = SR(j+1) a(j+1,k) A(j+1) / P(n) + SR(j+1) < W(k) | A(j+1)/P(n) >
Real annuity = cs.coterminalSwapAnnuity(numberOfRates_,j+1);
Real annuity = annuities[j+1];
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can the same vector annuities be used also in the other loop ~20 lines below?

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Yes! I'll make that change too, thanks for pointing it out. In fact the quantitative results stated above were including this change, but I forgot to add it when making the final PR.

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Great, thanks.

wkpj_[k][j+1]= SR[j+1] *
( pseudo_[j+1][k] * annuity + wkaj_[k][j+1] )+
pseudo_[j+1][k]*displacements_[j+1]* annuity;
Expand All @@ -108,7 +113,7 @@ namespace QuantLib {
// compute < Wk, PN/pn>
for (Size j=alive_; j<numberOfRates_; ++j)
{
wkajshifted_[k][j] = -wkaj_[k][j]/cs.coterminalSwapAnnuity(numberOfRates_,j)
wkajshifted_[k][j] = -wkaj_[k][j]/annuities[j]
+ wkpj_[k][numeraire_]
*numeraireRatio;
}
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