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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010, 2014 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.
*/
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp>
#include <utility>
namespace QuantLib {
FdmSimpleSwingCondition::FdmSimpleSwingCondition(
std::vector<Time> exerciseTimes,
ext::shared_ptr<FdmMesher> mesher,
ext::shared_ptr<FdmInnerValueCalculator> calculator,
Size swingDirection,
Size minExercises)
: exerciseTimes_(std::move(exerciseTimes)), mesher_(std::move(mesher)),
calculator_(std::move(calculator)), minExercises_(minExercises),
swingDirection_(swingDirection) {}
void FdmSimpleSwingCondition::applyTo(Array& a, Time t) const {
const auto iter
= std::find(exerciseTimes_.begin(), exerciseTimes_.end(), t);
const Size maxExerciseValue=mesher_->layout()->dim()[swingDirection_]-1;
if (iter != exerciseTimes_.end()) {
Array retVal= a;
const Size d = std::distance(iter, exerciseTimes_.end());
QL_REQUIRE(mesher_->layout()->size() == a.size(),
"inconsistent array dimensions");
for (const auto& iter : *mesher_->layout()) {
const std::vector<Size>& coor = iter.coordinates();
const Size exercisesUsed = coor[swingDirection_];
if (exercisesUsed < maxExerciseValue) {
const Real cashflow = calculator_->innerValue(iter, t);
const Real currentValue = a[iter.index()];
const Real valuePlusOneExercise
= a[mesher_->layout()->neighbourhood(iter, swingDirection_, 1)];
if ( currentValue < valuePlusOneExercise + cashflow
|| exercisesUsed + d <= minExercises_) {
retVal[iter.index()] = valuePlusOneExercise + cashflow;
}
}
}
a = retVal;
}
}
}
|
