svddfwdratepc.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 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.
*/
 
#ifndef quantlib_svdd_forward_rate_pc_evolver_hpp
#define quantlib_svdd_forward_rate_pc_evolver_hpp
 
#include <ql/models/marketmodels/evolver.hpp>
#include <ql/models/marketmodels/curvestates/lmmcurvestate.hpp>
#include <ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp>
#include <valarray>
 
namespace QuantLib {
 
    class MarketModel;
    class BrownianGenerator;
    class BrownianGeneratorFactory;
    class MarketModelVolProcess;
 
    class SVDDFwdRatePc : public MarketModelEvolver 
    {
      public:
    
          SVDDFwdRatePc(const ext::shared_ptr<MarketModel>&,
                           const BrownianGeneratorFactory&,
                           const ext::shared_ptr<MarketModelVolProcess>& volProcess,
                           Size firstVolatilityFactor, 
                           Size volatilityFactorStep,
                           const std::vector<Size>& numeraires,
                           Size initialStep = 0);
 
          const std::vector<Size>& numeraires() const override;
          Real startNewPath() override;
          Real advanceStep() override;
          Size currentStep() const override;
          const CurveState& currentState() const override;
          void setInitialState(const CurveState&) override;
        private:
          void setForwards(const std::vector<Real>& forwards);
          // inputs
          ext::shared_ptr<MarketModel> marketModel_;
          ext::shared_ptr<BrownianGenerator> generator_;
          ext::shared_ptr<MarketModelVolProcess> volProcess_;
 
          Size firstVolatilityFactor_;
          Size volFactorsPerStep_;
 
          std::vector<Size> numeraires_;
          Size initialStep_;
 
 
          // fixed variables
          std::vector<std::vector<Real> > fixedDrifts_;
          std::valarray<bool> isVolVariate_;
          // working variables
          Size numberOfRates_, numberOfFactors_;
          LMMCurveState curveState_;
          Size currentStep_;
          std::vector<Rate> forwards_, displacements_, logForwards_, initialLogForwards_;
          std::vector<Real> drifts1_, drifts2_, initialDrifts_;
          std::vector<Real> allBrownians_, brownians_, volBrownians_, correlatedBrownians_;
          std::vector<Size> alive_;
          // helper classes
          std::vector<LMMDriftCalculator> calculators_;
    };
 
}
 
#endif