ProxyGreekEngine::ProxyGreekEngine(
const boost::shared_ptr<MarketModelEvolver>& evolver,
const std::vector<
std::vector<boost::shared_ptr<ConstrainedEvolver> > >&
constrainedEvolvers,
const std::vector<std::vector<std::vector<Real> > >& diffWeights,
const std::vector<Size>& startIndexOfConstraint,
const std::vector<Size>& endIndexOfConstraint,
const Clone<MarketModelMultiProduct>& product,
Real initialNumeraireValue)
: originalEvolver_(evolver), constrainedEvolvers_(constrainedEvolvers),
diffWeights_(diffWeights),
startIndexOfConstraint_(startIndexOfConstraint),
endIndexOfConstraint_(endIndexOfConstraint),
product_(product),
initialNumeraireValue_(initialNumeraireValue),
numberProducts_(product->numberOfProducts()),
numerairesHeld_(product->numberOfProducts()),
numberCashFlowsThisStep_(product->numberOfProducts()),
cashFlowsGenerated_(product->numberOfProducts()) {
for (Size i=0; i<numberProducts_; ++i)
cashFlowsGenerated_[i].resize(
product_->maxNumberOfCashFlowsPerProductPerStep());
const std::vector<Time>& cashFlowTimes =
product_->possibleCashFlowTimes();
const std::vector<Rate>& rateTimes = product_->evolution().rateTimes();
Size n = cashFlowTimes.size();
discounters_.reserve(n);
for (Size j=0; j<n; ++j)
discounters_.push_back(MarketModelDiscounter(cashFlowTimes[j],
rateTimes));
const std::vector<Rate>& evolutionTimes =
product_->evolution().evolutionTimes();
constraints_.resize(evolutionTimes.size());
constraintsActive_.resize(evolutionTimes.size());
}
