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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Andreas Gaida
Copyright (C) 2008, 2009 Ralph Schreyer
Copyright (C) 2008 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/time/daycounter.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp>
namespace QuantLib {
FdmDividendHandler::FdmDividendHandler(
const DividendSchedule& schedule,
const boost::shared_ptr<FdmMesher>& mesher,
const Date& referenceDate,
const DayCounter& dayCounter,
Size equityDirection)
: x_(mesher->layout()->dim()[equityDirection]),
mesher_(mesher),
equityDirection_(equityDirection) {
dividends_.reserve(schedule.size());
dividendDates_.reserve(schedule.size());
dividendTimes_.reserve(schedule.size());
for (DividendSchedule::const_iterator iter=schedule.begin();
iter!=schedule.end(); ++iter) {
dividends_.push_back((*iter)->amount());
dividendDates_.push_back((*iter)->date());
dividendTimes_.push_back(
dayCounter.yearFraction(referenceDate,(*iter)->date()));
}
Array tmp = mesher_->locations(equityDirection);
Size spacing = mesher_->layout()->spacing()[equityDirection];
for (Size i = 0; i < x_.size(); ++i) {
x_[i] = std::exp(tmp[i*spacing]);
}
}
const std::vector<Time>& FdmDividendHandler::dividendTimes() const {
return dividendTimes_;
}
const std::vector<Date>& FdmDividendHandler::dividendDates() const {
return dividendDates_;
}
const std::vector<Real>& FdmDividendHandler::dividends() const {
return dividends_;
}
void FdmDividendHandler::applyTo(Array& a, Time t) const {
Array aCopy(a);
std::vector<Time>::const_iterator iter
= std::find(dividendTimes_.begin(), dividendTimes_.end(), t);
if (iter != dividendTimes_.end()) {
const Real dividend = dividends_[iter - dividendTimes_.begin()];
if (mesher_->layout()->dim().size() == 1) {
LinearInterpolation interp(x_.begin(), x_.end(), aCopy.begin());
for (Size k=0; k<x_.size(); ++k) {
a[k] = interp(std::max(x_[0], x_[k]-dividend), true);
}
}
else {
Array tmp(x_.size());
Size xSpacing = mesher_->layout()->spacing()[equityDirection_];
for (Size i=0; i<mesher_->layout()->dim().size(); ++i) {
if (i!=equityDirection_) {
Size ySpacing = mesher_->layout()->spacing()[i];
for (Size j=0; j<mesher_->layout()->dim()[i]; ++j) {
for (Size k=0; k<x_.size(); ++k) {
Size index = j*ySpacing + k*xSpacing;
tmp[k] = aCopy[index];
}
LinearInterpolation interp(x_.begin(), x_.end(),
tmp.begin());
for (Size k=0; k<x_.size(); ++k) {
Size index = j*ySpacing + k*xSpacing;
a[index] = interp(
std::max(x_[0], x_[k]-dividend), true);
}
}
}
}
}
}
}
}
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