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// Copyright (C) 2019 EDF
// All Rights Reserved
// This code is published under the GNU Lesser General Public License (GNU LGPL)
#ifndef CONTINUATIONVALUETREE_H
#define CONTINUATIONVALUETREE_H
#include <iostream>
#include <memory>
#include <Eigen/Dense>
#include "StOpt/tree/Tree.h"
#include "StOpt/core/grids/SpaceGrid.h"
/** \file ContinuatonValueTree.h
* \brief Calculate and store continuation value functon for tree method
* \author Xavier warin
*/
namespace StOpt
{
/// \class ContinuationValueTree ContinuationValueTree.h
/// Permits to store, store continuation values on a grid for tree methods
class ContinuationValueTree
{
private :
std::shared_ptr< SpaceGrid > m_grid ; ///< grid used to define stock points
Eigen::ArrayXXd m_values ; ///< store node values for each stock (nb node, nb stock points) at current date
public :
/// \brief Default constructor
ContinuationValueTree() {}
/// \brief Constructor
/// \param p_grid grid for stocks
/// \param p_condExp tree for conditional expectation
/// \param p_valuesNextDate cash matrix to store cash (number of simulations by nb of stocks)
ContinuationValueTree(const std::shared_ptr< SpaceGrid > &p_grid,
const std::shared_ptr< Tree > &p_condExp,
const Eigen::ArrayXXd &p_valuesNextDate) :
m_grid(p_grid), m_values(p_condExp->expCondMultiple(p_valuesNextDate.transpose()).transpose())
{
}
/// \brief Load another Continuation value object
/// Only a partial load of the objects is achieved
/// \param p_grid Grid to load
/// \param p_values continuation values for all nodes and stocks
virtual void loadForSimulation(const std::shared_ptr< SpaceGrid > &p_grid,
const Eigen::ArrayXXd &p_values)
{
m_grid = p_grid;
m_values = p_values ;
}
/// \brief Get continuation value for one stock point
/// \param p_ptOfStock grid point for interpolation
/// \return the continuation value associated to each node used in optimization
Eigen::ArrayXd getValueAtNodes(const Eigen::ArrayXd &p_ptOfStock) const
{
return m_grid->createInterpolator(p_ptOfStock)->applyVec(m_values);
}
/// \brief Same as before but use an interpolator
Eigen::ArrayXd getValueAtNodes(const Interpolator &p_interpol) const
{
return p_interpol.applyVec(m_values);
}
/// \brief Get a conditional expectation for a given
/// \param p_node node number
/// \param p_ptOfStock stock points
/// \return the continuation value associated to the given node used in optimization
double getValueAtANode(const int &p_node, const Eigen::ArrayXd &p_ptOfStock) const
{
return m_grid->createInterpolator(p_ptOfStock)->apply(m_values.row(p_node).transpose());
}
/// \brief Same as before but use an interpolator
/// \param p_node node number
/// \param p_ptOfStock stock points
/// \return the continuation value associated to the given node used in optimization
double getValueAtANode(const int &p_node, const Interpolator &p_interpol) const
{
return p_interpol.apply(m_values.row(p_node).transpose());
}
//// \brief Get back
///@{
const Eigen::ArrayXXd &getValues() const
{
return m_values;
}
std::shared_ptr< SpaceGrid > getGrid() const
{
return m_grid;
}
///@}
};
}
#endif
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