1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
|
/* -*- 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 fdmvppstepconditionfactory.cpp
*/
#include <ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.hpp>
#include <ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp>
#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
#include <utility>
namespace QuantLib {
FdmVPPStepConditionFactory::FdmVPPStepConditionFactory(VanillaVPPOption::arguments args)
: args_(std::move(args)) {
QL_REQUIRE(!( args_.nStarts != Null<Size>()
&& args_.nRunningHours != Null<Size>()),
"start and running hour limt together is not supported");
if ( args_.nRunningHours == Null<Size>()
&& args_.nStarts == Null<Size>()) {
type_ = Vanilla;
}
else if (args_.nRunningHours == Null<Size>()) {
type_ = StartLimit;
}
else {
type_ = RunningHourLimit;
}
}
ext::shared_ptr<Fdm1dMesher>
FdmVPPStepConditionFactory::stateMesher() const {
Size nStates;
switch (type_) {
case Vanilla:
nStates = 2*args_.tMinUp + args_.tMinDown;
break;
case StartLimit:
nStates = FdmVPPStartLimitStepCondition::nStates(
args_.tMinUp,args_.tMinDown, args_.nStarts);
break;
default:
QL_FAIL("vpp type is not supported");
}
return ext::shared_ptr<Fdm1dMesher>(
new Uniform1dMesher(0.0, 1.0, nStates));
}
ext::shared_ptr<FdmVPPStepCondition> FdmVPPStepConditionFactory::build(
const FdmVPPStepConditionMesher& mesh,
Real fuelCostAddon,
const ext::shared_ptr<FdmInnerValueCalculator>& fuel,
const ext::shared_ptr<FdmInnerValueCalculator>& spark) const {
const FdmVPPStepConditionParams params = {
args_.heatRate, args_.pMin, args_.pMax,
args_.tMinUp, args_.tMinDown,
args_.startUpFuel, args_.startUpFixCost,
fuelCostAddon
};
switch (type_) {
case Vanilla:
case StartLimit:
return ext::shared_ptr<FdmVPPStepCondition>(
new FdmVPPStartLimitStepCondition(params, args_.nStarts,
mesh, fuel, spark));
default:
QL_FAIL("vpp type is not supported");
}
}
}
|
