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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011, 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 fdmvppstartlimitstepcondition.cpp
*/
#include <algorithm>
#include <ql/math/array.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
namespace QuantLib {
FdmVPPStartLimitStepCondition::FdmVPPStartLimitStepCondition(
const FdmVPPStepConditionParams& params,
Size nStarts,
const FdmVPPStepConditionMesher& mesh,
const ext::shared_ptr<FdmInnerValueCalculator>& gasPrice,
const ext::shared_ptr<FdmInnerValueCalculator>& sparkSpreadPrice)
: FdmVPPStepCondition(params,
nStates(params.tMinUp, params.tMinDown, nStarts),
mesh, gasPrice, sparkSpreadPrice),
nStarts_(nStarts) {
QL_REQUIRE(tMinUp_ > 0, "minimum up time must be greater than one");
QL_REQUIRE(tMinDown_ > 0, "minimum down time must be greater than one");
}
Array FdmVPPStartLimitStepCondition::changeState(
const Real gasPrice, const Array& state, Time) const {
const Real startUpCost
= startUpFixCost_ + (gasPrice + fuelCostAddon_)*startUpFuel_;
Array retVal(state.size());
const Size sss = 2*tMinUp_ + tMinDown_;
for (Size i=0; i < nStates_; ++i) {
const Size j = i % sss;
if (j < tMinUp_-1) {
retVal[i] = std::max(state[i+1], state[tMinUp_+i+1]);
}
else if (j == tMinUp_-1) {
retVal[i] = std::max({state[i+tMinUp_+1], state[i], state[i+tMinUp_]});
}
else if (j < 2*tMinUp_) {
retVal[i] = retVal[i-tMinUp_];
}
else if (j < 2*tMinUp_+tMinDown_-1) {
retVal[i] = state[i+1];
}
else if (nStarts_ == Null<Size>()) {
retVal[i] = std::max(state[i],
std::max(state.front(), state[tMinUp_]) - startUpCost);
}
else if (i >= sss) {
retVal[i] = std::max(state[i],
std::max(state[i+1-2*sss], state[i+1-2*sss+tMinUp_])
- startUpCost);
}
else {
retVal[i] = state[i];
}
}
return retVal;
}
Size FdmVPPStartLimitStepCondition::nStates(Size tMinUp, Size tMinDown,
Size nStarts) {
return (2*tMinUp+tMinDown)*((nStarts == Null<Size>())? 1 : nStarts+1);
}
Real FdmVPPStartLimitStepCondition::maxValue(const Array& states) const {
return *std::max_element(states.begin(), states.end());
}
}
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