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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 StatPro Italia srl
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/products/singleproductcomposite.hpp>
namespace QuantLib {
Size SingleProductComposite::numberOfProducts() const {
return 1;
}
Size SingleProductComposite::maxNumberOfCashFlowsPerProductPerStep() const {
Size result = 0;
for (const_iterator i=components_.begin(); i!=components_.end(); ++i)
result += i->product->maxNumberOfCashFlowsPerProductPerStep();
return result;
}
bool SingleProductComposite::nextTimeStep(
const CurveState& currentState,
std::vector<Size>& numberCashFlowsThisStep,
std::vector<std::vector<CashFlow> >& cashFlowsGenerated) {
QL_REQUIRE(finalized_, "composite not finalized");
bool done = true;
Size n = 0, totalCashflows = 0;
// for each sub-product...
for (iterator i=components_.begin(); i!=components_.end(); ++i, ++n) {
if (isInSubset_[n][currentIndex_] && !i->done) {
// ...make it evolve...
bool thisDone = i->product->nextTimeStep(currentState,
i->numberOfCashflows,
i->cashflows);
// ...and copy the results. Time indices need to be remapped
// so that they point into all cash-flow times. Amounts need
// to be adjusted by the corresponding multiplier.
for (Size j=0; j<i->product->numberOfProducts(); ++j) {
Size offset = totalCashflows;
totalCashflows += i->numberOfCashflows[j];
for (Size k=0; k<i->numberOfCashflows[j]; ++k) {
CashFlow& from = i->cashflows[j][k];
CashFlow& to = cashFlowsGenerated[0][k+offset];
to.timeIndex = i->timeIndices[from.timeIndex];
to.amount = from.amount * i->multiplier;
}
numberCashFlowsThisStep[0] = totalCashflows;
}
// finally, set done to false if this product isn't done
done = done && thisDone;
}
}
++currentIndex_;
return done;
}
std::auto_ptr<MarketModelMultiProduct>
SingleProductComposite::clone() const {
return std::auto_ptr<MarketModelMultiProduct>(
new SingleProductComposite(*this));
}
}
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