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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Mark Joshi
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/models/marketmodels/callability/nothingexercisevalue.hpp>
#include <ql/models/marketmodels/utilities.hpp>
#include <ql/errors.hpp>
#include <ql/auto_ptr.hpp>
namespace QuantLib {
NothingExerciseValue::NothingExerciseValue(
const std::vector<Time>& rateTimes,
const std::valarray<bool>& isExerciseTime)
: rateTimes_(rateTimes), isExerciseTime_(isExerciseTime),
currentIndex_(0) {
checkIncreasingTimes(rateTimes);
QL_REQUIRE(rateTimes.size() >= 2,
"Rate times must contain at least two values");
cf_.amount = 0.0;
std::vector<Time> evolutionTimes(rateTimes_);
evolutionTimes.pop_back();
evolution_= EvolutionDescription(rateTimes_, evolutionTimes);
if(isExerciseTime_.size()==0) {
isExerciseTime_ = std::valarray<bool>(true,rateTimes.empty() ? 0 : rateTimes.size()-1);
}
else {
QL_REQUIRE(isExerciseTime_.size() ==
(rateTimes.empty() ? 0 : rateTimes.size() - 1),
"isExerciseTime ("
<< isExerciseTime_.size() << ") must "
<< "have same size as rateTimes minus 1 ("
<< (rateTimes.empty() ? 0 : rateTimes.size() - 1)
<< ")");
}
numberOfExercises_ = 0;
for(Size i=0;i<isExerciseTime_.size();i++)
if(isExerciseTime_[i])
++numberOfExercises_;
}
Size NothingExerciseValue::numberOfExercises() const {
return numberOfExercises_;
}
const EvolutionDescription& NothingExerciseValue::evolution() const {
return evolution_;
}
std::vector<Time> NothingExerciseValue::possibleCashFlowTimes() const {
return rateTimes_;
}
void NothingExerciseValue::reset() {
currentIndex_=0;
}
void NothingExerciseValue::nextStep(const CurveState&) {
cf_.timeIndex = currentIndex_;
++currentIndex_;
}
std::valarray<bool> NothingExerciseValue::isExerciseTime() const {
return isExerciseTime_;
}
MarketModelMultiProduct::CashFlow
NothingExerciseValue::value(const CurveState&) const {
return cf_;
}
QL_UNIQUE_OR_AUTO_PTR<MarketModelExerciseValue>
NothingExerciseValue::clone() const {
return QL_UNIQUE_OR_AUTO_PTR<MarketModelExerciseValue>(
new NothingExerciseValue(*this));
}
}
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