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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file fdmvppstatetransitionmatrix.cpp
*/
#include <ql/math/array.hpp>
#include <ql/math/functional.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <boost/bind.hpp>
namespace QuantLib {
FdmVPPStepCondition::FdmVPPStepCondition(
Real heatRate,
Real pMin, Real pMax,
Size tMinUp, Size tMinDown,
Real startUpFuel, Real startUpFixCost,
Real carbonPrice,
Size stateDirection,
const boost::shared_ptr<FdmMesher>& mesher,
const boost::shared_ptr<FdmInnerValueCalculator>& gasPrice,
const boost::shared_ptr<FdmInnerValueCalculator>& sparkSpreadPrice)
: heatRate_ (heatRate),
pMin_ (pMin),
pMax_ (pMax),
tMinUp_ (tMinUp),
tMinDown_ (tMinDown),
startUpFuel_ (startUpFuel),
startUpFixCost_ (startUpFixCost),
carbonPrice_ (carbonPrice),
stateDirection_ (stateDirection),
mesher_ (mesher),
gasPrice_ (gasPrice),
sparkSpreadPrice_(sparkSpreadPrice),
stateEvolveFcts_ (2*tMinUp + tMinDown) {
QL_REQUIRE(tMinUp_ > 1, "minimum up time must be greater than one");
QL_REQUIRE(tMinDown_ > 1, "minimum down time must be greater than one");
QL_REQUIRE(stateEvolveFcts_.size() ==
mesher_->layout()->dim()[stateDirection_],
"mesher does not fit to vpp arguments");
for (Size i=0; i < 2*tMinUp; ++i) {
if (i < tMinUp) {
stateEvolveFcts_[i] = boost::function<Real (Real)>(
boost::bind(&FdmVPPStepCondition::evolveAtPMin,this, _1));
}
else {
stateEvolveFcts_[i] = boost::function<Real (Real)>(
boost::bind(&FdmVPPStepCondition::evolveAtPMax,this, _1));
}
}
}
void FdmVPPStepCondition::applyTo(Array& a, Time t) const {
boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
const Size nStates = layout->dim()[stateDirection_];
const FdmLinearOpIterator endIter = layout->end();
for (FdmLinearOpIterator iter=layout->begin();iter != endIter; ++iter) {
a[iter.index()] += evolve(iter, t);
}
for (FdmLinearOpIterator iter=layout->begin();iter != endIter; ++iter) {
if (!iter.coordinates()[stateDirection_]) {
Array x(nStates);
for (Size i=0; i < nStates; ++i) {
x[i] = a[layout->neighbourhood(iter, stateDirection_, i)];
}
const Real gasPrice = gasPrice_->innerValue(iter, t);
x = changeState(gasPrice, x, t);
for (Size i=0; i < nStates; ++i) {
a[layout->neighbourhood(iter, stateDirection_, i)] = x[i];
}
}
}
}
Real FdmVPPStepCondition::evolve(
const FdmLinearOpIterator& iter, Time t) const {
const Size state = iter.coordinates()[stateDirection_];
if (stateEvolveFcts_[state].empty()) {
return 0;
}
else {
const Real sparkSpread = sparkSpreadPrice_->innerValue(iter, t);
return stateEvolveFcts_[state](sparkSpread);
}
}
Disposable<Array> FdmVPPStepCondition::changeState(
const Real gasPrice, const Array& state, Time t) const {
const Real startUpCost
= startUpFixCost_ + (gasPrice + carbonPrice_)*startUpFuel_;
Array retVal(state.size());
for (Size i=0; i < tMinUp_-1; ++i) {
retVal[i] = retVal[tMinUp_ + i]
= std::max(state[i+1], state[tMinUp_ + i+1]);
}
retVal[tMinUp_-1] = retVal[2*tMinUp_-1]
= std::max(state[2*tMinUp_],
std::max(state[tMinUp_-1], state[2*tMinUp_-1]));
for (Size i=0; i < tMinDown_-1; ++i) {
retVal[2*tMinUp_ + i] = state[2*tMinUp_ + i+1];
}
retVal.back() = std::max(state.back(),
std::max(state.front(), state[tMinUp_]) - startUpCost);
return retVal;
}
Real FdmVPPStepCondition::evolveAtPMin(Real sparkSpread) const {
return pMin_*(sparkSpread - heatRate_*carbonPrice_);
}
Real FdmVPPStepCondition::evolveAtPMax(Real sparkSpread) const {
return pMax_*(sparkSpread - heatRate_*carbonPrice_);
}
}
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