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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 StatPro Italia srl
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/models/marketmodels/products/compositeproduct.hpp>
#include <ql/models/marketmodels/utilities.hpp>
namespace QuantLib {
const EvolutionDescription& MarketModelComposite::evolution() const {
QL_REQUIRE(finalized_, "composite not finalized");
return evolution_;
}
std::vector<Size> MarketModelComposite::suggestedNumeraires() const {
QL_REQUIRE(finalized_, "composite not finalized");
return terminalMeasure(evolution_);
}
std::vector<Time> MarketModelComposite::possibleCashFlowTimes() const {
QL_REQUIRE(finalized_, "composite not finalized");
return cashflowTimes_;
}
void MarketModelComposite::reset() {
for (auto& component : components_) {
component.product->reset();
component.done = false;
}
currentIndex_ = 0;
}
void MarketModelComposite::add(
const Clone<MarketModelMultiProduct>& product,
Real multiplier) {
QL_REQUIRE(!finalized_, "product already finalized");
EvolutionDescription d = product->evolution();
if (!components_.empty()) {
// enforce preconditions
EvolutionDescription d1 =
components_.front().product->evolution();
const std::vector<Time>& rateTimes1 = d1.rateTimes();
const std::vector<Time>& rateTimes2 = d.rateTimes();
QL_REQUIRE(rateTimes1.size() == rateTimes2.size() &&
std::equal(rateTimes1.begin(), rateTimes1.end(),
rateTimes2.begin()),
"incompatible rate times");
}
components_.emplace_back();
components_.back().product = product;
components_.back().multiplier = multiplier;
components_.back().done = false;
allEvolutionTimes_.push_back(d.evolutionTimes());
}
void MarketModelComposite::subtract(
const Clone<MarketModelMultiProduct>& product,
Real multiplier) {
add(product, -multiplier);
}
void MarketModelComposite::finalize() {
QL_REQUIRE(!finalized_, "product already finalized");
QL_REQUIRE(!components_.empty(), "no sub-product provided");
// fetch the rate times from the first subproduct (we checked
// they're all the same)
EvolutionDescription description =
components_.front().product->evolution();
rateTimes_ = description.rateTimes();
mergeTimes(allEvolutionTimes_, evolutionTimes_, isInSubset_);
std::vector<Time> allCashflowTimes;
// now, for each subproduct...
iterator i;
for (i=components_.begin(); i!=components_.end(); ++i) {
EvolutionDescription d = i->product->evolution();
// ...collect all possible cash-flow times...
const std::vector<Time>& cashflowTimes =
i->product->possibleCashFlowTimes();
allCashflowTimes.insert(allCashflowTimes.end(),
cashflowTimes.begin(),
cashflowTimes.end());
// ...allocate working vectors...
i->numberOfCashflows =
std::vector<Size>(i->product->numberOfProducts());
i->cashflows =
std::vector<std::vector<CashFlow> >(
i->product->numberOfProducts(),
std::vector<CashFlow>(i->product
->maxNumberOfCashFlowsPerProductPerStep()));
}
// all information having been collected, we can sort and
// compact the vector of all cash-flow times...
std::sort(allCashflowTimes.begin(), allCashflowTimes.end());
auto end = std::unique(allCashflowTimes.begin(), allCashflowTimes.end());
//std::copy(allCashflowTimes.begin(), end,
// std::back_inserter(cashflowTimes_));
cashflowTimes_.insert(cashflowTimes_.end(),
allCashflowTimes.begin(), end);
// ...and map each product's cash-flow time into the total vector.
for (i=components_.begin(); i!=components_.end(); ++i) {
const std::vector<Time>& productTimes =
i->product->possibleCashFlowTimes();
i->timeIndices = std::vector<Size>(productTimes.size());
for (Size j=0; j<productTimes.size(); ++j) {
i->timeIndices[j] =
std::find(cashflowTimes_.begin(), cashflowTimes_.end(),
productTimes[j]) - cashflowTimes_.begin();
}
}
evolution_ = EvolutionDescription(rateTimes_, evolutionTimes_);
// all done.
finalized_ = true;
}
Size MarketModelComposite::size() const {
return components_.size();
}
const MarketModelMultiProduct& MarketModelComposite::item(Size i) const {
return *(components_.at(i).product);
}
MarketModelMultiProduct& MarketModelComposite::item(Size i) {
return *(components_.at(i).product);
}
Real MarketModelComposite::multiplier(Size i) const {
return components_.at(i).multiplier;
}
}
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