14910176578

Committed 08 May 2025 03:28PM UTC coverage: 73.315% (+0.02%) from 73.3%

Build # 14910176578

Build Type

Pull #2195

github

Committed by

web-flow

Commit Message

Merge 3a61f499c into 5d972fb7b

Pull Request Pull Request #2195: Added `Handle<Quote>` for spread in `OISRateHelper`

Run Details

32 of 33 new or added lines in 2 files covered. (96.97%)

277 existing lines in 25 files now uncovered.

56277 of 76761 relevant lines covered (73.31%)

8687029.35 hits per line

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90.7

/ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2011 Klaus Spanderen
 Copyright (C) 2014 Ralph Schreyer

 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 <algorithm>
#include <ql/math/interpolations/bilinearinterpolation.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.hpp>
#include <utility>

namespace QuantLib {

    FdmSimpleStorageCondition::FdmSimpleStorageCondition(
        std::vector<Time> exerciseTimes,
        ext::shared_ptr<FdmMesher> mesher,
        ext::shared_ptr<FdmInnerValueCalculator> calculator,
        Real changeRate)
    : exerciseTimes_(std::move(exerciseTimes)), mesher_(std::move(mesher)),
      calculator_(std::move(calculator)), changeRate_(changeRate) {

        x_.reserve(mesher_->layout()->dim()[0]);
        y_.reserve(mesher_->layout()->dim()[1]);

        for (const auto& iter : *mesher_->layout()) {
            if (iter.coordinates()[1] == 0U) {
                x_.push_back(mesher_->location(iter, 0));
            }
            if (iter.coordinates()[0] == 0U) {
                y_.push_back(mesher_->location(iter, 1));
            }
        }
    }

    void FdmSimpleStorageCondition::applyTo(Array& a, Time t) const {
        const auto iter
            = std::find(exerciseTimes_.begin(), exerciseTimes_.end(), t);

        if (iter != exerciseTimes_.end()) {
            Array retVal(a.size());

            Matrix m(y_.size(), x_.size());
            std::copy(a.begin(), a.end(), m.begin());
            BilinearInterpolation interpl(x_.begin(), x_.end(),
                                          y_.begin(), y_.end(), m);

            QL_REQUIRE(mesher_->layout()->size() == a.size(),
                       "inconsistent array dimensions");

            for (const auto& iter : *mesher_->layout()) {
                const std::vector<Size>& coor = iter.coordinates();
                const Real x = x_[coor[0]];
                const Real y = y_[coor[1]];

                const Real price = calculator_->innerValue(iter, t);

                const Real maxWithDraw = std::min(y-y_.front(), changeRate_);
                const Real sellPrice   = interpl(x, y-maxWithDraw);

                const Real maxInject = std::min(y_.back()-y, changeRate_);
                const Real buyPrice  = interpl(x, y+maxInject);

                // bang-bang-wait strategy
                Real currentValue = std::max({
                        a[iter.index()],
                        buyPrice - price*maxInject,
                        sellPrice + price*maxWithDraw
                    });

                // check if intermediate grid points give a better value
                auto yIter = std::upper_bound(y_.begin(), y_.end(), y - maxWithDraw);

                while (yIter != y_.end() && *yIter < y + maxInject) {
                    if (*yIter != y) {
                        const Real change = *yIter - y;
                        const Real storagePrice(interpl(x, *yIter));

                        currentValue = std::max(currentValue,
                            storagePrice - change*price);
                    }
                    ++yIter;
                }

                retVal[iter.index()] = currentValue;
            }
            a = retVal;
        }
    }
}

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2011 Klaus Spanderen
5	Copyright (C) 2014 Ralph Schreyer
6
7	This file is part of QuantLib, a free-software/open-source library
8	for financial quantitative analysts and developers - http://quantlib.org/
9
10	QuantLib is free software: you can redistribute it and/or modify it
11	under the terms of the QuantLib license. You should have received a
12	copy of the license along with this program; if not, please email
13	<quantlib-dev@lists.sf.net>. The license is also available online at
14	<http://quantlib.org/license.shtml>.
15
16	This program is distributed in the hope that it will be useful, but WITHOUT
17	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18	FOR A PARTICULAR PURPOSE. See the license for more details.
19	*/
20
21	#include <algorithm>
22	#include <ql/math/interpolations/bilinearinterpolation.hpp>
23	#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
24	#include <ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.hpp>
25	#include <utility>
26
27	namespace QuantLib {
28
29	FdmSimpleStorageCondition::FdmSimpleStorageCondition(	1✔
30	std::vector<Time> exerciseTimes,
31	ext::shared_ptr<FdmMesher> mesher,
32	ext::shared_ptr<FdmInnerValueCalculator> calculator,
33	Real changeRate)	1✔
34	: exerciseTimes_(std::move(exerciseTimes)), mesher_(std::move(mesher)),	1✔
35	calculator_(std::move(calculator)), changeRate_(changeRate) {	1✔
36
37	x_.reserve(mesher_->layout()->dim()[0]);	1✔
38	y_.reserve(mesher_->layout()->dim()[1]);	1✔
39
40	for (const auto& iter : *mesher_->layout()) {	1,277✔
41	if (iter.coordinates()[1] == 0U) {	1,275✔
42	x_.push_back(mesher_->location(iter, 0));	25✔
43	}
44	if (iter.coordinates()[0] == 0U) {	1,275✔
45	y_.push_back(mesher_->location(iter, 1));	51✔
46	}
47	}
48	}	1✔
49
50	void FdmSimpleStorageCondition::applyTo(Array& a, Time t) const {	368✔
51	const auto iter
52	= std::find(exerciseTimes_.begin(), exerciseTimes_.end(), t);	368✔
53
54	if (iter != exerciseTimes_.end()) {	368✔
55	Array retVal(a.size());	366✔
56
57	Matrix m(y_.size(), x_.size());	366✔
58	std::copy(a.begin(), a.end(), m.begin());	366✔
59	BilinearInterpolation interpl(x_.begin(), x_.end(),	732✔
60	y_.begin(), y_.end(), m);	366✔
61
62	QL_REQUIRE(mesher_->layout()->size() == a.size(),	366✔
63	"inconsistent array dimensions");
64
65	for (const auto& iter : *mesher_->layout()) {	467,382✔
66	const std::vector<Size>& coor = iter.coordinates();
67	const Real x = x_[coor[0]];	466,650✔
68	const Real y = y_[coor[1]];	466,650✔
69
70	const Real price = calculator_->innerValue(iter, t);	466,650✔
71
72	const Real maxWithDraw = std::min(y-y_.front(), changeRate_);	466,650✔
73	const Real sellPrice = interpl(x, y-maxWithDraw);	466,650✔
74
75	const Real maxInject = std::min(y_.back()-y, changeRate_);	466,650✔
76	const Real buyPrice = interpl(x, y+maxInject);	466,650✔
77
78	// bang-bang-wait strategy
79	Real currentValue = std::max({	466,650✔
80	a[iter.index()],
81	buyPrice - price*maxInject,	466,650✔
82	sellPrice + price*maxWithDraw	466,650✔
83	});	466,650✔
84
85	// check if intermediate grid points give a better value
86	auto yIter = std::upper_bound(y_.begin(), y_.end(), y - maxWithDraw);	466,650✔
87
88	while (yIter != y_.end() && *yIter < y + maxInject) {	915,000✔
89	if (*yIter != y) {	448,350✔
90	const Real change = *yIter - y;	×
91	const Real storagePrice(interpl(x, *yIter));	×
92
UNCOV 93	currentValue = std::max(currentValue,	×
UNCOV 94	storagePrice - change*price);	×
95	}
96	++yIter;
97	}
98
99	retVal[iter.index()] = currentValue;	466,650✔
100	}
101	a = retVal;	366✔
102	}
103	}	368✔
104	}

lballabio / QuantLib / 14910176578

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