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# Copyright (C) 2016 EDF
# All Rights Reserved
# This code is published under the GNU Lesser General Public License (GNU LGPL)
# Final value function for swings in multidimensionnal case
# final function payoff for a fictitious swing
class FinalValueFictitiousFunction:
# Constructor
def __init__(self, p_pay, p_nExerc):
self.m_pay = p_pay
self.m_nExerc = p_nExerc
# final function
# p_ireg regime number
# p_stock position in the stock
# p_state position in the stochastic state
def set(self, ireg, p_stock, p_state):
idec = len(p_stock) * self.m_nExerc - p_stock.sum()
return min(idec, len(p_stock)) * self.m_pay.apply(p_state)
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