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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 fdmvppstepcondition.cpp
*/
#include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
#include <ql/math/array.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <utility>
namespace QuantLib {
FdmVPPStepCondition::FdmVPPStepCondition(
const FdmVPPStepConditionParams& params,
Size nStates,
const FdmVPPStepConditionMesher& mesh,
ext::shared_ptr<FdmInnerValueCalculator> gasPrice,
ext::shared_ptr<FdmInnerValueCalculator> sparkSpreadPrice)
: heatRate_(params.heatRate), pMin_(params.pMin), pMax_(params.pMax), tMinUp_(params.tMinUp),
tMinDown_(params.tMinDown), startUpFuel_(params.startUpFuel),
startUpFixCost_(params.startUpFixCost), fuelCostAddon_(params.fuelCostAddon),
stateDirection_(mesh.stateDirection), nStates_(nStates), mesher_(mesh.mesher),
gasPrice_(std::move(gasPrice)), sparkSpreadPrice_(std::move(sparkSpreadPrice)),
stateEvolveFcts_(nStates_) {
QL_REQUIRE(nStates_ == mesher_->layout()->dim()[stateDirection_],
"mesher does not fit to vpp arguments");
for (Size i=0; i < nStates_; ++i) {
const Size j = i % (2*tMinUp_ + tMinDown_);
if (j < tMinUp_) {
stateEvolveFcts_[i] = [&](Real x){ return evolveAtPMin(x); };
}
else if (j < 2*tMinUp_){
stateEvolveFcts_[i] = [&](Real x) { return evolveAtPMax(x); };
}
}
}
Size FdmVPPStepCondition::nStates() const {
return nStates_;
}
void FdmVPPStepCondition::applyTo(Array& a, Time t) const {
const Size nStates = mesher_->layout()->dim()[stateDirection_];
for (const auto& iter : *mesher_->layout()) {
a[iter.index()] += evolve(iter, t);
}
for (const auto& iter : *mesher_->layout()) {
if (iter.coordinates()[stateDirection_] == 0U) {
Array x(nStates);
for (Size i=0; i < nStates; ++i) {
x[i] = a[mesher_->layout()->neighbourhood(iter, stateDirection_, i)];
}
const Real gasPrice = gasPrice_->innerValue(iter, t);
x = changeState(gasPrice, x, t);
for (Size i=0; i < nStates; ++i) {
a[mesher_->layout()->neighbourhood(iter, stateDirection_, i)] = x[i];
}
}
}
}
Real FdmVPPStepCondition::evolve(
const FdmLinearOpIterator& iter, Time t) const {
const Size state = iter.coordinates()[stateDirection_];
if (!(stateEvolveFcts_[state])) {
return 0.0;
}
else {
const Real sparkSpread = sparkSpreadPrice_->innerValue(iter, t);
return stateEvolveFcts_[state](sparkSpread);
}
}
Real FdmVPPStepCondition::evolveAtPMin(Real sparkSpread) const {
return pMin_*(sparkSpread - heatRate_*fuelCostAddon_);
}
Real FdmVPPStepCondition::evolveAtPMax(Real sparkSpread) const {
return pMax_*(sparkSpread - heatRate_*fuelCostAddon_);
}
}
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