CallSpecifiedMultiProduct::CallSpecifiedMultiProduct(
const Clone<MarketModelMultiProduct>& underlying,
const Clone<ExerciseStrategy<CurveState> >& strategy,
const Clone<MarketModelMultiProduct>& rebate)
: underlying_(underlying),
strategy_(strategy),
rebate_(rebate),
callable_(true)
{
Size products = underlying_->numberOfProducts();
EvolutionDescription d1 = underlying->evolution();
const std::vector<Time>& rateTimes1 = d1.rateTimes();
const std::vector<Time>& evolutionTimes1 = d1.evolutionTimes();
const std::vector<Time>& exerciseTimes = strategy->exerciseTimes();
if (!rebate_.empty())
{
EvolutionDescription d2 = rebate_->evolution();
const std::vector<Time>& rateTimes2 = d2.rateTimes();
QL_REQUIRE(rateTimes1.size() == rateTimes2.size() &&
std::equal(rateTimes1.begin(), rateTimes1.end(),
rateTimes2.begin()),
"incompatible rate times");
}
else
{
EvolutionDescription description(rateTimes1, exerciseTimes);
Matrix amounts(products, exerciseTimes.size(), 0.0);
rebate_ = MarketModelCashRebate(description, exerciseTimes,
amounts, products);
}
std::vector<Time> mergedEvolutionTimes;
std::vector<std::vector<Time> > allEvolutionTimes(4);
allEvolutionTimes[0] = evolutionTimes1;
allEvolutionTimes[1] = exerciseTimes;
allEvolutionTimes[2] = rebate_->evolution().evolutionTimes();
allEvolutionTimes[3] = strategy->relevantTimes();
mergeTimes(allEvolutionTimes,
mergedEvolutionTimes,
isPresent_);
// TODO: add relevant rates
evolution_ = EvolutionDescription(rateTimes1, mergedEvolutionTimes);
cashFlowTimes_ = underlying_->possibleCashFlowTimes();
rebateOffset_ = cashFlowTimes_.size();
const std::vector<Time> rebateTimes = rebate_->possibleCashFlowTimes();
cashFlowTimes_.insert(cashFlowTimes_.end(),
rebateTimes.begin(), rebateTimes.end());
dummyCashFlowsThisStep_ = std::vector<Size>(products, 0);
Size n = rebate_->maxNumberOfCashFlowsPerProductPerStep();
dummyCashFlowsGenerated_ =
std::vector<std::vector<CashFlow> >(products,
std::vector<CashFlow>(n));
}
