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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
<https://www.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/marketmodelparametricexercise.hpp>
#include <ql/models/marketmodels/callability/parametricexerciseadapter.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
#include <utility>
namespace QuantLib {
ParametricExerciseAdapter::ParametricExerciseAdapter(
const MarketModelParametricExercise& exercise, std::vector<std::vector<Real> > parameters)
: exercise_(exercise), parameters_(std::move(parameters)),
isExerciseTime_(exercise.isExerciseTime()), numberOfVariables_(exercise.numberOfVariables()) {
std::vector<Time> evolutionTimes =
exercise_->evolution().evolutionTimes();
for (Size i=0; i<evolutionTimes.size(); ++i) {
if (isExerciseTime_[i])
exerciseTimes_.push_back(evolutionTimes[i]);
}
}
std::vector<Time> ParametricExerciseAdapter::exerciseTimes() const {
return exerciseTimes_;
}
std::vector<Time> ParametricExerciseAdapter::relevantTimes() const {
return exercise_->evolution().evolutionTimes();
}
void ParametricExerciseAdapter::reset() {
exercise_->reset();
currentStep_ = currentExercise_ = 0;
}
void ParametricExerciseAdapter::nextStep(const CurveState& currentState) {
exercise_->nextStep(currentState);
if (isExerciseTime_[currentStep_])
++currentExercise_;
++currentStep_;
}
bool ParametricExerciseAdapter::exercise(const CurveState& currentState) const {
variables_.resize(numberOfVariables_[currentExercise_-1]);
exercise_->values(currentState, variables_);
return exercise_->exercise(currentExercise_-1,
parameters_[currentExercise_-1],
variables_);
}
std::unique_ptr<ExerciseStrategy<CurveState>> ParametricExerciseAdapter::clone() const {
return std::unique_ptr<ExerciseStrategy<CurveState>>(new ParametricExerciseAdapter(*this));
}
}
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