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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Andreas Gaida
Copyright (C) 2008 Ralph Schreyer
Copyright (C) 2008 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/exercise.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <set>
#include <utility>
namespace QuantLib {
FdmStepConditionComposite::FdmStepConditionComposite(
const std::list<std::vector<Time> >& stoppingTimes, Conditions conditions)
: conditions_(std::move(conditions)) {
std::set<Real> allStoppingTimes;
for (const auto& stoppingTime : stoppingTimes) {
allStoppingTimes.insert(stoppingTime.begin(), stoppingTime.end());
}
stoppingTimes_ = std::vector<Time>(allStoppingTimes.begin(),
allStoppingTimes.end());
}
const FdmStepConditionComposite::Conditions&
FdmStepConditionComposite::conditions() const {
return conditions_;
}
const std::vector<Time>& FdmStepConditionComposite::stoppingTimes() const {
return stoppingTimes_;
}
void FdmStepConditionComposite::applyTo(Array& a, Time t) const {
for (const auto& condition : conditions_) {
condition->applyTo(a, t);
}
}
ext::shared_ptr<FdmStepConditionComposite>
FdmStepConditionComposite::joinConditions(
const ext::shared_ptr<FdmSnapshotCondition>& c1,
const ext::shared_ptr<FdmStepConditionComposite>& c2) {
std::list<std::vector<Time> > stoppingTimes;
stoppingTimes.push_back(c2->stoppingTimes());
stoppingTimes.emplace_back(1, c1->getTime());
FdmStepConditionComposite::Conditions conditions;
conditions.push_back(c2);
conditions.push_back(c1);
return ext::make_shared<FdmStepConditionComposite>(
stoppingTimes, conditions);
}
ext::shared_ptr<FdmStepConditionComposite>
FdmStepConditionComposite::vanillaComposite(
const DividendSchedule& cashFlow,
const ext::shared_ptr<Exercise>& exercise,
const ext::shared_ptr<FdmMesher>& mesher,
const ext::shared_ptr<FdmInnerValueCalculator>& calculator,
const Date& refDate,
const DayCounter& dayCounter) {
std::list<std::vector<Time> > stoppingTimes;
std::list<ext::shared_ptr<StepCondition<Array> > > stepConditions;
if (!cashFlow.empty()) {
const Date maturityDate = exercise->lastDate();
DividendSchedule dividends;
std::copy_if(
cashFlow.begin(), cashFlow.end(),
std::back_inserter(dividends),
[refDate, maturityDate](const ext::shared_ptr<Dividend>& div) -> bool {
return div->date() >= refDate && div->date() <= maturityDate;
}
);
auto dividendCondition =
ext::make_shared<FdmDividendHandler>(dividends, mesher,
refDate, dayCounter, 0);
stepConditions.push_back(dividendCondition);
std::vector<Time> dividendTimes = dividendCondition->dividendTimes();
const Time maturityTime = dayCounter.yearFraction(refDate, exercise->lastDate());
// this effectively excludes times after maturity
for (auto& t: dividendTimes)
t = std::min(maturityTime, t);
stoppingTimes.push_back(dividendTimes);
// smoother convergence behavior with number of time steps
for (auto& t: dividendTimes)
t = std::min(maturityTime, t+1e-5);
stoppingTimes.push_back(dividendTimes);
}
QL_REQUIRE( exercise->type() == Exercise::American
|| exercise->type() == Exercise::European
|| exercise->type() == Exercise::Bermudan,
"exercise type is not supported");
if (exercise->type() == Exercise::American) {
stepConditions.push_back(ext::shared_ptr<StepCondition<Array> >(
new FdmAmericanStepCondition(mesher,calculator)));
}
else if (exercise->type() == Exercise::Bermudan) {
ext::shared_ptr<FdmBermudanStepCondition> bermudanCondition(
new FdmBermudanStepCondition(exercise->dates(),
refDate, dayCounter,
mesher, calculator));
stepConditions.push_back(bermudanCondition);
stoppingTimes.push_back(bermudanCondition->exerciseTimes());
}
return ext::make_shared<FdmStepConditionComposite>(
stoppingTimes, stepConditions);
}
}
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