/**
* Constructeur de l'objet Player
*/
Player::Player()
{
setForwards(false);
setBackwards(false);
setStrafeLeft(false);
setStrafeRight(false);
lastPositionUpdate = -1;
setSpeed(0.2f);
}
LogNormalFwdRateIpc::LogNormalFwdRateIpc(
const boost::shared_ptr<MarketModel>& marketModel,
const BrownianGeneratorFactory& factory,
const std::vector<Size>& numeraires,
Size initialStep)
: marketModel_(marketModel),
numeraires_(numeraires),
initialStep_(initialStep),
numberOfRates_(marketModel->numberOfRates()),
numberOfFactors_(marketModel->numberOfFactors()),
curveState_(marketModel->evolution().rateTimes()),
forwards_(marketModel->initialRates()),
displacements_(marketModel->displacements()),
logForwards_(numberOfRates_), initialLogForwards_(numberOfRates_),
drifts1_(numberOfRates_), initialDrifts_(numberOfRates_),
g_(numberOfRates_), brownians_(numberOfFactors_),
correlatedBrownians_(numberOfRates_),
rateTaus_(marketModel->evolution().rateTaus()),
alive_(marketModel->evolution().firstAliveRate())
{
checkCompatibility(marketModel->evolution(), numeraires);
QL_REQUIRE(isInTerminalMeasure(marketModel->evolution(), numeraires),
"terminal measure required for ipc ");
Size steps = marketModel->evolution().numberOfSteps();
generator_ = factory.create(numberOfFactors_, steps-initialStep_);
currentStep_ = initialStep_;
calculators_.reserve(steps);
fixedDrifts_.reserve(steps);
for (Size j=0; j<steps; ++j) {
const Matrix& A = marketModel->pseudoRoot(j);
calculators_.push_back(LMMDriftCalculator(A,
displacements_,
marketModel->evolution().rateTaus(),
numeraires[j],
alive_[j]));
const Matrix& C = marketModel->covariance(j);
std::vector<Real> fixed(numberOfRates_);
for (Size k=0; k<numberOfRates_; ++k) {
Real variance = C[k][k];
fixed[k] = -0.5*variance;
}
fixedDrifts_.push_back(fixed);
}
setForwards(marketModel_->initialRates());
}
NormalFwdRatePc::NormalFwdRatePc(
const ext::shared_ptr<MarketModel>& marketModel,
const BrownianGeneratorFactory& factory,
const std::vector<Size>& numeraires,
Size initialStep)
: marketModel_(marketModel),
numeraires_(numeraires),
initialStep_(initialStep),
numberOfRates_(marketModel->numberOfRates()),
numberOfFactors_(marketModel_->numberOfFactors()),
curveState_(marketModel->evolution().rateTimes()),
forwards_(marketModel->initialRates()),
initialForwards_(marketModel->initialRates()),
drifts1_(numberOfRates_), drifts2_(numberOfRates_),
initialDrifts_(numberOfRates_), brownians_(numberOfFactors_),
correlatedBrownians_(numberOfRates_),
alive_(marketModel->evolution().firstAliveRate())
{
checkCompatibility(marketModel->evolution(), numeraires);
Size steps = marketModel->evolution().numberOfSteps();
generator_ = factory.create(numberOfFactors_, steps-initialStep_);
currentStep_ = initialStep_;
calculators_.reserve(steps);
for (Size j=0; j<steps; ++j) {
const Matrix& A = marketModel_->pseudoRoot(j);
calculators_.push_back(
LMMNormalDriftCalculator(A,
marketModel->evolution().rateTaus(),
numeraires[j],
alive_[j]));
/*
for (Size k=0; k<numberOfRates_; ++k) {
Real variance =
std::inner_product(A.row_begin(k), A.row_end(k),
A.row_begin(k), 0.0);
}
*/
}
setForwards(marketModel_->initialRates());
}
void LogNormalFwdRateIpc::setInitialState(const CurveState& cs) {
setForwards(cs.forwardRates());
}
SVDDFwdRatePc::SVDDFwdRatePc(const ext::shared_ptr<MarketModel>& marketModel,
const BrownianGeneratorFactory& factory,
const ext::shared_ptr<MarketModelVolProcess>& volProcess,
Size firstVolatilityFactor,
Size volatilityFactorStep,
const std::vector<Size>& numeraires,
Size initialStep )
: marketModel_(marketModel),
volProcess_(volProcess),
firstVolatilityFactor_(firstVolatilityFactor),
volFactorsPerStep_(volProcess->variatesPerStep()),
numeraires_(numeraires),
initialStep_(initialStep),
isVolVariate_(false,volProcess->variatesPerStep()+marketModel_->numberOfFactors()),
numberOfRates_(marketModel->numberOfRates()),
numberOfFactors_(marketModel_->numberOfFactors()),
curveState_(marketModel->evolution().rateTimes()),
forwards_(marketModel->initialRates()),
displacements_(marketModel->displacements()),
logForwards_(numberOfRates_), initialLogForwards_(numberOfRates_),
drifts1_(numberOfRates_), drifts2_(numberOfRates_),
initialDrifts_(numberOfRates_), allBrownians_(volProcess->variatesPerStep()+marketModel_->numberOfFactors()),
brownians_(numberOfFactors_),
volBrownians_(volProcess->variatesPerStep()),
correlatedBrownians_(numberOfRates_),
alive_(marketModel->evolution().firstAliveRate())
{
QL_REQUIRE(initialStep ==0, "initial step zero only supported currently. ");
checkCompatibility(marketModel->evolution(), numeraires);
Size steps = marketModel->evolution().numberOfSteps();
generator_ = factory.create(numberOfFactors_+volFactorsPerStep_, steps-initialStep_);
currentStep_ = initialStep_;
calculators_.reserve(steps);
fixedDrifts_.reserve(steps);
for (Size j=0; j<steps; ++j)
{
const Matrix& A = marketModel_->pseudoRoot(j);
calculators_.push_back(
LMMDriftCalculator(A,
displacements_,
marketModel->evolution().rateTaus(),
numeraires[j],
alive_[j]));
std::vector<Real> fixed(numberOfRates_);
for (Size k=0; k<numberOfRates_; ++k)
{
Real variance =
std::inner_product(A.row_begin(k), A.row_end(k),
A.row_begin(k), 0.0);
fixed[k] = -0.5*variance;
}
fixedDrifts_.push_back(fixed);
}
setForwards(marketModel_->initialRates());
Size variatesPerStep = numberOfFactors_+volFactorsPerStep_;
firstVolatilityFactor_ = std::min(firstVolatilityFactor_,variatesPerStep - volFactorsPerStep_);
Size volIncrement = (variatesPerStep - firstVolatilityFactor_)/volFactorsPerStep_;
for (Size i=0; i < volFactorsPerStep_; ++i)
isVolVariate_[firstVolatilityFactor_+i*volIncrement] = true;
}
void SVDDFwdRatePc::setInitialState(const CurveState& cs)
{
setForwards(cs.forwardRates());
}
