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cashrebate.cpp

/* -*- 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/reference/license.html>.

 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/MarketModels/Products/MultiStep/cashrebate.hpp>

namespace QuantLib {

    MarketModelCashRebate::MarketModelCashRebate(
                              const EvolutionDescription& evolution,
                              const std::vector<Time>& paymentTimes,
                              const Matrix& amounts,
                              Size numberOfProducts)
    : evolution_(evolution), paymentTimes_(paymentTimes),
      amounts_(amounts), numberOfProducts_(numberOfProducts) {
        QL_REQUIRE(amounts_.rows() == numberOfProducts_,
                   "the number of rows in the matrix must equal "
                   "the number of products");
        QL_REQUIRE(amounts_.columns() == paymentTimes_.size(),
                   "the number of columns in the matrix must equal "
                   "the number of payment times");
        QL_REQUIRE(evolution_.evolutionTimes().size() == paymentTimes_.size(),
                   "the number of evolution times must equal "
                   "the number of payment times");
    }


    std::vector<Time>
    MarketModelCashRebate::possibleCashFlowTimes() const {
        return paymentTimes_;
    }

    Size MarketModelCashRebate::numberOfProducts() const {
        return numberOfProducts_;
    }

    Size MarketModelCashRebate::maxNumberOfCashFlowsPerProductPerStep() const {
        return 1;
    }

    void MarketModelCashRebate::reset() {
       currentIndex_=0;
    }

    std::vector<Size>
    MarketModelCashRebate::suggestedNumeraires() const {
        QL_FAIL("not implemented (yet?)");
    }

    const EvolutionDescription& MarketModelCashRebate::evolution() const {
        return evolution_;
    }


    bool MarketModelCashRebate::nextTimeStep(
            const CurveState&,
            std::vector<Size>& numberCashFlowsThisStep,
            std::vector<std::vector<MarketModelMultiProduct::CashFlow> >&
                                                               genCashFlows) {
        for (Size i=0; i<numberOfProducts_; ++i) {
            numberCashFlowsThisStep[i] = 1;
            genCashFlows[i][0].timeIndex = currentIndex_;
            genCashFlows[i][0].amount = amounts_[i][currentIndex_];
        }
        ++currentIndex_;
        return true;
    }

    std::auto_ptr<MarketModelMultiProduct>
    MarketModelCashRebate::clone() const {
        return std::auto_ptr<MarketModelMultiProduct>(
                                            new MarketModelCashRebate(*this));
    }

}


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