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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.
*/
#include <ql/math/interpolations/bilinearinterpolation.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.hpp>
namespace QuantLib {
FdmSimpleStorageCondition::FdmSimpleStorageCondition(
const std::vector<Time> & exerciseTimes,
const boost::shared_ptr<FdmMesher>& mesher,
const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
Real changeRate)
: exerciseTimes_(exerciseTimes),
mesher_ (mesher),
calculator_ (calculator),
changeRate_ (changeRate) {
const boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
x_.reserve(layout->dim()[0]);
y_.reserve(layout->dim()[1]);
const FdmLinearOpIterator endIter = layout->end();
for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
++iter) {
if (!iter.coordinates()[1]) {
x_.push_back(mesher_->location(iter, 0));
}
if (!iter.coordinates()[0]) {
y_.push_back(mesher_->location(iter, 1));
}
}
}
void FdmSimpleStorageCondition::applyTo(Array& a, Time t) const {
const std::vector<Time>::const_iterator iter
= std::find(exerciseTimes_.begin(), exerciseTimes_.end(), t);
if (iter != exerciseTimes_.end()) {
Array retVal(a.size());
Matrix m(y_.size(), x_.size());
std::copy(a.begin(), a.end(), m.begin());
BilinearInterpolation interpl(x_.begin(), x_.end(),
y_.begin(), y_.end(), m);
const boost::shared_ptr<FdmLinearOpLayout> layout=mesher_->layout();
const FdmLinearOpIterator endIter = layout->end();
for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
++iter) {
const std::vector<Size>& coor = iter.coordinates();
const Real x = x_[coor[0]];
const Real y = y_[coor[1]];
const Real price = calculator_->innerValue(iter, t);
Real currentValue = a[iter.index()];
// sell
if (coor[1] > 0) {
const Real sellPrice = interpl(x, y-changeRate_);
currentValue
= std::max(currentValue, sellPrice + price*changeRate_);
}
// buy
if (coor[1] < y_.size()-1) {
const Real buyPrice = interpl(x, y+changeRate_);
currentValue
= std::max(currentValue, buyPrice - price*changeRate_);
}
retVal[iter.index()] = currentValue;
}
a = retVal;
}
}
}
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