void collectNodeData(MarketModelEvolver& evolver,
MarketModelMultiProduct& product,
MarketModelNodeDataProvider& dataProvider,
MarketModelExerciseValue& rebate,
MarketModelExerciseValue& control,
Size numberOfPaths,
std::vector<std::vector<NodeData> >& collectedData) {
std::vector<Real> numerairesHeld;
QL_REQUIRE(product.numberOfProducts() == 1,
"a single product is required");
// TODO: check that all objects have compatible evolutions
// (same rate times; evolution times for product, basis
// system, rebate and control must be subsets of the passed
// evolution times; rebate, control and basis system must have
// the same exercise---not evolution---times)
std::vector<Size> numberCashFlowsThisStep(1);
std::vector<std::vector<CashFlow> > cashFlowsGenerated(1);
cashFlowsGenerated[0].resize(
product.maxNumberOfCashFlowsPerProductPerStep());
std::vector<Time> rateTimes = product.evolution().rateTimes();
std::vector<Time> cashFlowTimes = product.possibleCashFlowTimes();
std::vector<Time> rebateTimes = rebate.possibleCashFlowTimes();
std::vector<Time> controlTimes = control.possibleCashFlowTimes();
Size i, n;
n = cashFlowTimes.size();
std::vector<MarketModelDiscounter> productDiscounters;
productDiscounters.reserve(n);
for (i=0; i<n; ++i)
productDiscounters.push_back(
MarketModelDiscounter(cashFlowTimes[i],
rateTimes));
n = rebateTimes.size();
std::vector<MarketModelDiscounter> rebateDiscounters;
rebateDiscounters.reserve(n);
for (i=0; i<n; ++i)
rebateDiscounters.push_back(
MarketModelDiscounter(rebateTimes[i],
rateTimes));
n = controlTimes.size();
std::vector<MarketModelDiscounter> controlDiscounters;
controlDiscounters.reserve(n);
for (i=0; i<n; ++i)
controlDiscounters.push_back(
MarketModelDiscounter(controlTimes[i],
rateTimes));
EvolutionDescription evolution = product.evolution();
const std::vector<Size>& numeraires = evolver.numeraires();
std::vector<Time> evolutionTimes = evolution.evolutionTimes();
std::valarray<bool> isProductTime =
isInSubset(evolutionTimes,
product.evolution().evolutionTimes());
std::valarray<bool> isRebateTime =
isInSubset(evolutionTimes,
rebate.evolution().evolutionTimes());
std::valarray<bool> isControlTime =
isInSubset(evolutionTimes,
control.evolution().evolutionTimes());
std::valarray<bool> isBasisTime =
isInSubset(evolutionTimes,
dataProvider.evolution().evolutionTimes());
std::valarray<bool> isExerciseTime(false,evolutionTimes.size());
std::valarray<bool> v = rebate.isExerciseTime();
Size exercises = 0;
for (i=0; i<evolutionTimes.size(); ++i) {
if (isRebateTime[i]) {
isExerciseTime[i] = v[exercises];
++exercises;
}
}
collectedData.resize(exercises+1);
for (i=0; i<collectedData.size(); ++i)
collectedData[i].resize(numberOfPaths);
for (i=0; i<numberOfPaths; ++i) {
evolver.startNewPath();
product.reset();
rebate.reset();
control.reset();
dataProvider.reset();
Real principalInNumerairePortfolio = 1.0;
bool done = false;
Size nextExercise = 0;
collectedData[0][i].cumulatedCashFlows = 0.0;
do {
Size currentStep = evolver.currentStep();
evolver.advanceStep();
const CurveState& currentState = evolver.currentState();
Size numeraire = numeraires[currentStep];
if (isRebateTime[currentStep])
rebate.nextStep(currentState);
if (isControlTime[currentStep])
control.nextStep(currentState);
if (isBasisTime[currentStep])
dataProvider.nextStep(currentState);
if (isExerciseTime[currentStep]) {
NodeData& data = collectedData[nextExercise+1][i];
CashFlow exerciseValue = rebate.value(currentState);
data.exerciseValue =
exerciseValue.amount *
rebateDiscounters[exerciseValue.timeIndex]
.numeraireBonds(currentState, numeraire) /
principalInNumerairePortfolio;
dataProvider.values(currentState,
data.values);
CashFlow controlValue = control.value(currentState);
data.controlValue =
controlValue.amount *
controlDiscounters[controlValue.timeIndex]
.numeraireBonds(currentState, numeraire) /
principalInNumerairePortfolio;
data.cumulatedCashFlows = 0.0;
data.isValid = true;
++nextExercise;
}
if (isProductTime[currentStep]) {
done = product.nextTimeStep(currentState,
numberCashFlowsThisStep,
cashFlowsGenerated);
for (Size j=0; j<numberCashFlowsThisStep[0]; ++j) {
const CashFlow& cf = cashFlowsGenerated[0][j];
collectedData[nextExercise][i].cumulatedCashFlows +=
cf.amount *
productDiscounters[cf.timeIndex]
.numeraireBonds(currentState, numeraire) /
principalInNumerairePortfolio;
}
}
if (!done) {
Size nextNumeraire = numeraires[currentStep+1];
principalInNumerairePortfolio *=
currentState.discountRatio(numeraire,
nextNumeraire);
}
}
while (!done);
// fill the remaining (un)collected data with nulls
for (Size j = nextExercise; j < exercises; ++j) {
NodeData& data = collectedData[j+1][i];
data.exerciseValue = data.controlValue = 0.0;
data.cumulatedCashFlows = 0.0;
data.isValid = false;
}
}
}
void ProxyGreekEngine::singleEvolverValues(MarketModelEvolver& evolver,
std::vector<Real>& values,
bool storeRates) {
std::fill(numerairesHeld_.begin(), numerairesHeld_.end(), 0.0);
Real weight = evolver.startNewPath();
product_->reset();
Real principalInNumerairePortfolio = 1.0;
if (storeRates)
constraintsActive_ =false;
// std::fill(constraintsActive_.begin(),
// constraintsActive_.end(),
// false);
// }
bool done = false;
do {
Size thisStep = evolver.currentStep();
weight *= evolver.advanceStep();
done = product_->nextTimeStep(evolver.currentState(),
numberCashFlowsThisStep_,
cashFlowsGenerated_);
if (storeRates) {
constraints_[thisStep] = evolver.currentState().swapRate(
startIndexOfConstraint_[thisStep],
endIndexOfConstraint_[thisStep]);
constraintsActive_[thisStep] = true;
}
Size numeraire =
evolver.numeraires()[thisStep];
// for each product...
for (Size i=0; i<numberProducts_; ++i) {
// ...and each cash flow...
const std::vector<MarketModelMultiProduct::CashFlow>& cashflows =
cashFlowsGenerated_[i];
for (Size j=0; j<numberCashFlowsThisStep_[i]; ++j) {
// ...convert the cash flow to numeraires.
// This is done by calculating the number of
// numeraire bonds corresponding to such cash flow...
const MarketModelDiscounter& discounter =
discounters_[cashflows[j].timeIndex];
Real bonds = cashflows[j].amount *
discounter.numeraireBonds(evolver.currentState(),
numeraire);
// ...and adding the newly bought bonds to the number
// of numeraires held.
numerairesHeld_[i] +=
weight*bonds/principalInNumerairePortfolio;
}
}
if (!done) {
// The numeraire might change between steps. This implies
// that we might have to convert the numeraire bonds for
// this step into a corresponding amount of numeraire
// bonds for the next step. This can be done by changing
// the principal of the numeraire and updating the number
// of bonds in the numeraire portfolio accordingly.
Size nextNumeraire = evolver.numeraires()[thisStep+1];
principalInNumerairePortfolio *=
evolver.currentState().discountRatio(numeraire,
nextNumeraire);
}
} while (!done);
for (Size i=0; i<numerairesHeld_.size(); ++i)
values[i] = numerairesHeld_[i] * initialNumeraireValue_;
}