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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Andrea Odetti
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.
*/
#include <ql/experimental/mcbasket/adaptedpathpayoff.hpp>
namespace QuantLib {
/*
Initializing maximumTimeRead_ to -1 would make more sense,
but it is unsigned and 0 has exactly the same behaviour.
*/
AdaptedPathPayoff::ValuationData::ValuationData(
const Matrix & path,
const std::vector<Handle<YieldTermStructure> > & forwardTermStructures,
Array & payments,
Array & exercises,
std::vector<Array> & states) :
path_(path),
forwardTermStructures_(forwardTermStructures),
payments_(payments), exercises_(exercises), states_(states),
maximumTimeRead_(0)
{ }
Size AdaptedPathPayoff::ValuationData::numberOfTimes() const {
return path_.columns();
}
Size AdaptedPathPayoff::ValuationData::numberOfAssets() const {
return path_.rows();
}
Real AdaptedPathPayoff::ValuationData::getAssetValue(Size time, Size asset) {
maximumTimeRead_ = std::max(maximumTimeRead_, time);
return path_[asset][time];
}
const Handle<YieldTermStructure> & AdaptedPathPayoff::ValuationData::getYieldTermStructure(Size time) {
maximumTimeRead_ = std::max(maximumTimeRead_, time);
return forwardTermStructures_[time];
}
void AdaptedPathPayoff::ValuationData::setPayoffValue(Size time, Real value) {
/*
This is to ensure the payoff is an adapted function.
We prevent payments to depend on future fixings.
*/
QL_REQUIRE(time >= maximumTimeRead_,
"not adapted payoff: looking into the future");
payments_[time] = value;
}
void AdaptedPathPayoff::ValuationData::setExerciseData(
Size time, Real exercise, Array & state) {
/*
This is to ensure the payoff is an adapted function.
We prevent payments to depend on future fixings.
*/
QL_REQUIRE(time >= maximumTimeRead_,
"not adapted payoff: looking into the future");
if (!exercises_.empty())
exercises_[time] = exercise;
if (!states_.empty())
std::swap(states_[time], state);
}
void AdaptedPathPayoff::value(const Matrix & path,
const std::vector<Handle<YieldTermStructure> > & forwardTermStructures,
Array & payments,
Array & exercises,
std::vector<Array> & states) const {
ValuationData data(path, forwardTermStructures, payments, exercises, states);
operator()(data);
}
}
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