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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Ralph Schreyer
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 fdmarithmeticaveragecondition.cpp
\brief step condition to handle arithmetic average
*/
#include <ql/math/interpolations/cubicinterpolation.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.hpp>
namespace QuantLib {
FdmArithmeticAverageCondition::FdmArithmeticAverageCondition(
const std::vector<Time> & averageTimes,
Real fixedSum, Size pastFixings,
const boost::shared_ptr<FdmMesher> & mesher,
Size equityDirection)
: x_(mesher->layout()->dim()[equityDirection]),
a_(mesher->layout()->dim()[equityDirection == 0 ? 1 : 0]),
averageTimes_(averageTimes), fixedSum_(fixedSum),
pastFixings_(pastFixings), mesher_(mesher),
equityDirection_(equityDirection) {
QL_REQUIRE(mesher->layout()->dim().size()==2, "2D allowed only");
QL_REQUIRE(equityDirection == 0 || equityDirection == 1,
"equityDirection has to be 0 or 1");
const Size xSpacing = mesher_->layout()->spacing()[equityDirection];
Array tmp = mesher_->locations(equityDirection);
for (Size i = 0; i < x_.size(); ++i) {
x_[i] = std::exp(tmp[i*xSpacing]);
}
const Size averageDirection = equityDirection == 0 ? 1 : 0;
const Size aSpacing = mesher_->layout()->spacing()[averageDirection];
tmp = mesher_->locations(averageDirection);
for (Size i = 0; i < a_.size(); ++i) {
a_[i] = std::exp(tmp[i*aSpacing]);
}
}
void FdmArithmeticAverageCondition::applyTo(Array& a, Time t) const {
const std::vector<Time>::const_iterator iter
= std::find(averageTimes_.begin(), averageTimes_.end(), t);
const Size nTimes
= std::count(averageTimes_.begin(), averageTimes_.end(), t);
if (nTimes > 0) {
Array aCopy(a);
const Size iT = iter - averageTimes_.begin() + 1 + pastFixings_;
const Size averageDirection = equityDirection_ == 0 ? 1 : 0;
const Size xSpacing = mesher_->layout()->spacing()[equityDirection_];
const Size aSpacing = mesher_->layout()->spacing()[averageDirection];
Array tmp(a_.size());
for (Size i=0; i<x_.size(); ++i) {
for (Size j=0; j<a_.size(); ++j) {
Size index = i*xSpacing + j*aSpacing;
tmp[j] = aCopy[index];
}
MonotonicCubicNaturalSpline interp(a_.begin(), a_.end(),
tmp.begin());
for (Size j=0; j<a_.size(); ++j) {
Size index = i*xSpacing + j*aSpacing;
a[index] = interp((iT-nTimes)/(double)(iT)*a_[j] +
nTimes/(double)(iT)*x_[i], true);
}
}
}
}
}
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