collectnodedata.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 Mark Joshi
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#include <ql/models/marketmodels/callability/collectnodedata.hpp>
#include <ql/models/marketmodels/discounter.hpp>
#include <ql/models/marketmodels/utilities.hpp>
#include <ql/models/marketmodels/multiproduct.hpp>
#include <ql/models/marketmodels/evolver.hpp>
#include <ql/models/marketmodels/callability/nodedataprovider.hpp>
#include <ql/models/marketmodels/callability/exercisevalue.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
#include <ql/models/marketmodels/curvestate.hpp>
#include <ql/methods/montecarlo/nodedata.hpp>
#include <ql/errors.hpp>
 
namespace QuantLib {
 
    typedef MarketModelMultiProduct::CashFlow CashFlow;
 
    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.emplace_back(cashFlowTimes[i], rateTimes);
 
        n = rebateTimes.size();
        std::vector<MarketModelDiscounter> rebateDiscounters;
        rebateDiscounters.reserve(n);
        for (i=0; i<n; ++i)
            rebateDiscounters.emplace_back(rebateTimes[i], rateTimes);
        n = controlTimes.size();
        std::vector<MarketModelDiscounter> controlDiscounters;
        controlDiscounters.reserve(n);
        for (i=0; i<n; ++i)
            controlDiscounters.emplace_back(controlTimes[i], rateTimes);
 
        EvolutionDescription evolution = product.evolution();
        const std::vector<Size>& numeraires = evolver.numeraires();
 
        const 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, idx = 0;
        for (i=0; i<evolutionTimes.size(); ++i) {
            if (isRebateTime[i]) {
                if(v[idx++]) {
                    isExerciseTime[i] = true;
                    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;
            }
        }
    }
 
}