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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2012 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
<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.
*/
/*! \file dynprogvppintrinsicvalueengine.cpp
*/
#include <ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp>
#include <ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <utility>
namespace QuantLib {
namespace {
class SparkSpreadPrice : public FdmInnerValueCalculator {
public:
SparkSpreadPrice(Real heatRate,
const std::vector<Real>& fuelPrices,
const std::vector<Real>& powerPrices)
: heatRate_(heatRate),
fuelPrices_(fuelPrices),
powerPrices_(powerPrices) {}
Real innerValue(const FdmLinearOpIterator&, Time t) override {
Size i = (Size) t;
QL_REQUIRE(i < powerPrices_.size(), "invalid time");
return powerPrices_[i] - heatRate_*fuelPrices_[i];
}
Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) override {
return innerValue(iter, t);
}
private:
const Real heatRate_;
const std::vector<Real>& fuelPrices_;
const std::vector<Real>& powerPrices_;
};
class FuelPrice : public FdmInnerValueCalculator {
public:
explicit FuelPrice(const std::vector<Real>& fuelPrices)
: fuelPrices_(fuelPrices) {}
Real innerValue(const FdmLinearOpIterator&, Time t) override {
Size i = (Size) t;
QL_REQUIRE(i < fuelPrices_.size(), "invalid time");
return fuelPrices_[(Size) t];
}
Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) override {
return innerValue(iter, t);
}
private:
const std::vector<Real>& fuelPrices_;
};
}
DynProgVPPIntrinsicValueEngine::DynProgVPPIntrinsicValueEngine(
std::vector<Real> fuelPrices,
std::vector<Real> powerPrices,
Real fuelCostAddon,
ext::shared_ptr<YieldTermStructure> rTS)
: fuelPrices_(std::move(fuelPrices)), powerPrices_(std::move(powerPrices)),
fuelCostAddon_(fuelCostAddon), rTS_(std::move(rTS)) {}
void DynProgVPPIntrinsicValueEngine::calculate() const {
const ext::shared_ptr<FdmInnerValueCalculator> fuelPrice(
new FuelPrice(fuelPrices_));
const ext::shared_ptr<FdmInnerValueCalculator> sparkSpreadPrice(
new SparkSpreadPrice(arguments_.heatRate,fuelPrices_,powerPrices_));
const FdmVPPStepConditionFactory stepConditionFactory(arguments_);
const ext::shared_ptr<FdmMesher> mesher(
new FdmMesherComposite(stepConditionFactory.stateMesher()));
const FdmVPPStepConditionMesher mesh = { 0, mesher };
const ext::shared_ptr<FdmVPPStepCondition> stepCondition(
stepConditionFactory.build(mesh, fuelCostAddon_,
fuelPrice, sparkSpreadPrice));
Array state(mesher->layout()->dim()[0], 0.0);
for (Size j=powerPrices_.size(); j > 0; --j) {
stepCondition->applyTo(state, (Time) j-1);
}
results_.value = stepCondition->maxValue(state);
}
}
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