LongstaffSchwartzExerciseStrategy::LongstaffSchwartzExerciseStrategy(
const Clone<MarketModelBasisSystem>& basisSystem,
const std::vector<std::vector<Real> >& basisCoefficients,
const EvolutionDescription& evolution,
const std::vector<Size>& numeraires,
const Clone<MarketModelExerciseValue>& exercise,
const Clone<MarketModelExerciseValue>& control)
: basisSystem_(basisSystem), basisCoefficients_(basisCoefficients),
exercise_(exercise), control_(control),
numeraires_(numeraires) {
checkCompatibility(evolution, numeraires);
relevantTimes_ = evolution.evolutionTimes();
isBasisTime_.resize(relevantTimes_.size());
isBasisTime_ = isInSubset(relevantTimes_,
basisSystem_->evolution().evolutionTimes());
isRebateTime_.resize(relevantTimes_.size());
isRebateTime_ = isInSubset(relevantTimes_,
exercise_->evolution().evolutionTimes());
isControlTime_.resize(relevantTimes_.size());
isControlTime_ = isInSubset(relevantTimes_,
control_->evolution().evolutionTimes());
exerciseIndex_ = std::vector<Size>(relevantTimes_.size());
isExerciseTime_.resize(relevantTimes_.size(), false);
std::valarray<bool> v = exercise_->isExerciseTime();
Size exercises = 0, idx = 0;
Size i;
for (i=0; i<relevantTimes_.size(); ++i) {
exerciseIndex_[i] = exercises;
if (isRebateTime_[i]) {
isExerciseTime_[i] = v[idx++];
if (isExerciseTime_[i]) {
exerciseTimes_.push_back(relevantTimes_[i]);
++exercises;
}
}
}
std::vector<Time> rateTimes = evolution.rateTimes();
std::vector<Time> rebateTimes = exercise_->possibleCashFlowTimes();
rebateDiscounters_.reserve(rebateTimes.size());
for (i=0; i<rebateTimes.size(); ++i)
rebateDiscounters_.push_back(
MarketModelDiscounter(rebateTimes[i], rateTimes));
std::vector<Time> controlTimes = control_->possibleCashFlowTimes();
controlDiscounters_.reserve(controlTimes.size());
for (i=0; i<controlTimes.size(); ++i)
controlDiscounters_.push_back(
MarketModelDiscounter(controlTimes[i], rateTimes));
std::vector<Size> basisSizes = basisSystem_->numberOfFunctions();
basisValues_.resize(basisSystem_->numberOfExercises());
for (i=0; i<basisValues_.size(); ++i)
basisValues_[i].resize(basisSizes[i]);
}
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());
}
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;
}
}
}
