/src/quantlib/ql/methods/lattices/lattice.hpp

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

/*
 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
 Copyright (C) 2004, 2005 StatPro Italia srl

 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.
*/

/*! \file lattice.hpp
    \brief Tree-based lattice-method class
*/

#ifndef quantlib_tree_based_lattice_hpp
#define quantlib_tree_based_lattice_hpp

#include <ql/numericalmethod.hpp>
#include <ql/discretizedasset.hpp>
#include <ql/patterns/curiouslyrecurring.hpp>

namespace QuantLib {

    //! Tree-based lattice-method base class
    /*! This class defines a lattice method that is able to rollback
        (with discount) a discretized asset object. It will be based
        on one or more trees.

        Derived classes must implement the following interface:
        \code
        public:
          DiscountFactor discount(Size i, Size index) const;
          Size descendant(Size i, Size index, Size branch) const;
          Real probability(Size i, Size index, Size branch) const;
        \endcode
        and may implement the following:
        \code
        public:
          void stepback(Size i,
                        const Array& values,
                        Array& newValues) const;
        \endcode

        \ingroup lattices
    */
    template <class Impl>
    class TreeLattice : public Lattice,
                        public CuriouslyRecurringTemplate<Impl> {
      public:
        TreeLattice(const TimeGrid& timeGrid,
                    Size n)
        : Lattice(timeGrid), n_(n) {
            QL_REQUIRE(n>0, "there is no zeronomial lattice!");
            statePrices_ = std::vector<Array>(1, Array(1, 1.0));
            statePricesLimit_ = 0;
        }

        //! \name Lattice interface
        //@{
        void initialize(DiscretizedAsset&, Time t) const override;
        void rollback(DiscretizedAsset&, Time to) const override;
        void partialRollback(DiscretizedAsset&, Time to) const override;
        //! Computes the present value of an asset using Arrow-Debrew prices
        Real presentValue(DiscretizedAsset&) const override;
        //@}

        const Array& statePrices(Size i) const;

        void stepback(Size i,
                      const Array& values,
                      Array& newValues) const;

      protected:
        void computeStatePrices(Size until) const;

        // Arrow-Debrew state prices
        mutable std::vector<Array> statePrices_;

      private:
        Size n_;
        mutable Size statePricesLimit_;
    };


    // template definitions

    template <class Impl>
    void TreeLattice<Impl>::computeStatePrices(Size until) const {
        for (Size i=statePricesLimit_; i<until; i++) {
            statePrices_.push_back(Array(this->impl().size(i+1), 0.0));
            for (Size j=0; j<this->impl().size(i); j++) {
                DiscountFactor disc = this->impl().discount(i,j);
                Real statePrice = statePrices_[i][j];
                for (Size l=0; l<n_; l++) {
                    statePrices_[i+1][this->impl().descendant(i,j,l)] +=
                        statePrice*disc*this->impl().probability(i,j,l);
                }
            }
        }
        statePricesLimit_ = until;
    }

    template <class Impl>
    const Array& TreeLattice<Impl>::statePrices(Size i) const {
        if (i>statePricesLimit_)
            computeStatePrices(i);
        return statePrices_[i];
    }

    template <class Impl>
    inline Real TreeLattice<Impl>::presentValue(DiscretizedAsset& asset) const {
        Size i = t_.index(asset.time());
        return DotProduct(asset.values(), statePrices(i));
    }

    template <class Impl>
    inline void TreeLattice<Impl>::initialize(DiscretizedAsset& asset, Time t) const {
        Size i = t_.index(t);
        asset.time() = t;
        asset.reset(this->impl().size(i));
    }

    template <class Impl>
    inline void TreeLattice<Impl>::rollback(DiscretizedAsset& asset, Time to) const {
        partialRollback(asset,to);
        asset.adjustValues();
    }

    template <class Impl>
    void TreeLattice<Impl>::partialRollback(DiscretizedAsset& asset,
                                            Time to) const {

        Time from = asset.time();

        if (close(from,to))
            return;

        QL_REQUIRE(from > to,
                   "cannot roll the asset back to" << to
                   << " (it is already at t = " << from << ")");

        auto iFrom = Integer(t_.index(from));
        auto iTo = Integer(t_.index(to));

        for (Integer i=iFrom-1; i>=iTo; --i) {
            Array newValues(this->impl().size(i));
            this->impl().stepback(i, asset.values(), newValues);
            asset.time() = t_[i];
            asset.values() = newValues;
            // skip the very last adjustment
            if (i != iTo)
                asset.adjustValues();
        }
    }

    template <class Impl>
    void TreeLattice<Impl>::stepback(Size i, const Array& values,
                                     Array& newValues) const {
        #pragma omp parallel for
        for (long j=0; j<(long)this->impl().size(i); j++) {
            Real value = 0.0;
            for (Size l=0; l<n_; l++) {
                value += this->impl().probability(i,j,l) *
                         values[this->impl().descendant(i,j,l)];
            }
            value *= this->impl().discount(i,j);
            newValues[j] = value;
        }
    }

}


#endif

Line	Count	Source (jump to first uncovered line)
1		/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3		/*
4		Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
5		Copyright (C) 2004, 2005 StatPro Italia srl
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		/*! \file lattice.hpp
22		\brief Tree-based lattice-method class
23		*/
24
25		#ifndef quantlib_tree_based_lattice_hpp
26		#define quantlib_tree_based_lattice_hpp
27
28		#include <ql/numericalmethod.hpp>
29		#include <ql/discretizedasset.hpp>
30		#include <ql/patterns/curiouslyrecurring.hpp>
31
32		namespace QuantLib {
33
34		//! Tree-based lattice-method base class
35		/*! This class defines a lattice method that is able to rollback
36		(with discount) a discretized asset object. It will be based
37		on one or more trees.
38
39		Derived classes must implement the following interface:
40		\code
41		public:
42		DiscountFactor discount(Size i, Size index) const;
43		Size descendant(Size i, Size index, Size branch) const;
44		Real probability(Size i, Size index, Size branch) const;
45		\endcode
46		and may implement the following:
47		\code
48		public:
49		void stepback(Size i,
50		const Array& values,
51		Array& newValues) const;
52		\endcode
53
54		\ingroup lattices
55		*/
56		template <class Impl>
57		class TreeLattice : public Lattice,
58		public CuriouslyRecurringTemplate<Impl> {
59		public:
60		TreeLattice(const TimeGrid& timeGrid,
61		Size n)
62	0	: Lattice(timeGrid), n_(n) {
63	0	QL_REQUIRE(n>0, "there is no zeronomial lattice!");
64	0	statePrices_ = std::vector<Array>(1, Array(1, 1.0));
65	0	statePricesLimit_ = 0;
66	0	} Unexecuted instantiation: QuantLib::TreeLattice<QuantLib::OneFactorModel::ShortRateTree>::TreeLattice(QuantLib::TimeGrid const&, unsigned long) Unexecuted instantiation: QuantLib::TreeLattice<QuantLib::TwoFactorModel::ShortRateTree>::TreeLattice(QuantLib::TimeGrid const&, unsigned long)
67
68		//! \name Lattice interface
69		//@{
70		void initialize(DiscretizedAsset&, Time t) const override;
71		void rollback(DiscretizedAsset&, Time to) const override;
72		void partialRollback(DiscretizedAsset&, Time to) const override;
73		//! Computes the present value of an asset using Arrow-Debrew prices
74		Real presentValue(DiscretizedAsset&) const override;
75		//@}
76
77		const Array& statePrices(Size i) const;
78
79		void stepback(Size i,
80		const Array& values,
81		Array& newValues) const;
82
83		protected:
84		void computeStatePrices(Size until) const;
85
86		// Arrow-Debrew state prices
87		mutable std::vector<Array> statePrices_;
88
89		private:
90		Size n_;
91		mutable Size statePricesLimit_;
92		};
93
94
95		// template definitions
96
97		template <class Impl>
98	0	void TreeLattice<Impl>::computeStatePrices(Size until) const {
99	0	for (Size i=statePricesLimit_; i<until; i++) {
100	0	statePrices_.push_back(Array(this->impl().size(i+1), 0.0));
101	0	for (Size j=0; j<this->impl().size(i); j++) {
102	0	DiscountFactor disc = this->impl().discount(i,j);
103	0	Real statePrice = statePrices_[i][j];
104	0	for (Size l=0; l<n_; l++) {
105	0	statePrices_[i+1][this->impl().descendant(i,j,l)] +=
106	0	statePricediscthis->impl().probability(i,j,l);
107	0	}
108	0	}
109	0	}
110	0	statePricesLimit_ = until;
111	0	} Unexecuted instantiation: QuantLib::TreeLattice<QuantLib::OneFactorModel::ShortRateTree>::computeStatePrices(unsigned long) const Unexecuted instantiation: QuantLib::TreeLattice<QuantLib::TwoFactorModel::ShortRateTree>::computeStatePrices(unsigned long) const
112
113		template <class Impl>
114	0	const Array& TreeLattice<Impl>::statePrices(Size i) const {
115	0	if (i>statePricesLimit_)
116	0	computeStatePrices(i);
117	0	return statePrices_[i];
118	0	} Unexecuted instantiation: QuantLib::TreeLattice<QuantLib::OneFactorModel::ShortRateTree>::statePrices(unsigned long) const Unexecuted instantiation: QuantLib::TreeLattice<QuantLib::TwoFactorModel::ShortRateTree>::statePrices(unsigned long) const
119
120		template <class Impl>
121	0	inline Real TreeLattice<Impl>::presentValue(DiscretizedAsset& asset) const {
122	0	Size i = t_.index(asset.time());
123	0	return DotProduct(asset.values(), statePrices(i));
124	0	} Unexecuted instantiation: QuantLib::TreeLattice<QuantLib::OneFactorModel::ShortRateTree>::presentValue(QuantLib::DiscretizedAsset&) const Unexecuted instantiation: QuantLib::TreeLattice<QuantLib::TwoFactorModel::ShortRateTree>::presentValue(QuantLib::DiscretizedAsset&) const
125
126		template <class Impl>
127	0	inline void TreeLattice<Impl>::initialize(DiscretizedAsset& asset, Time t) const {
128	0	Size i = t_.index(t);
129	0	asset.time() = t;
130	0	asset.reset(this->impl().size(i));
131	0	} Unexecuted instantiation: QuantLib::TreeLattice<QuantLib::OneFactorModel::ShortRateTree>::initialize(QuantLib::DiscretizedAsset&, double) const Unexecuted instantiation: QuantLib::TreeLattice<QuantLib::TwoFactorModel::ShortRateTree>::initialize(QuantLib::DiscretizedAsset&, double) const
132
133		template <class Impl>
134	0	inline void TreeLattice<Impl>::rollback(DiscretizedAsset& asset, Time to) const {
135	0	partialRollback(asset,to);
136	0	asset.adjustValues();
137	0	} Unexecuted instantiation: QuantLib::TreeLattice<QuantLib::OneFactorModel::ShortRateTree>::rollback(QuantLib::DiscretizedAsset&, double) const Unexecuted instantiation: QuantLib::TreeLattice<QuantLib::TwoFactorModel::ShortRateTree>::rollback(QuantLib::DiscretizedAsset&, double) const
138
139		template <class Impl>
140		void TreeLattice<Impl>::partialRollback(DiscretizedAsset& asset,
141	0	Time to) const {
142
143	0	Time from = asset.time();
144
145	0	if (close(from,to))
146	0	return;
147
148	0	QL_REQUIRE(from > to,
149	0	"cannot roll the asset back to" << to
150	0	<< " (it is already at t = " << from << ")");
151
152	0	auto iFrom = Integer(t_.index(from));
153	0	auto iTo = Integer(t_.index(to));
154
155	0	for (Integer i=iFrom-1; i>=iTo; --i) {
156	0	Array newValues(this->impl().size(i));
157	0	this->impl().stepback(i, asset.values(), newValues);
158	0	asset.time() = t_[i];
159	0	asset.values() = newValues;
160		// skip the very last adjustment
161	0	if (i != iTo)
162	0	asset.adjustValues();
163	0	}
164	0	} Unexecuted instantiation: QuantLib::TreeLattice<QuantLib::OneFactorModel::ShortRateTree>::partialRollback(QuantLib::DiscretizedAsset&, double) const Unexecuted instantiation: QuantLib::TreeLattice<QuantLib::TwoFactorModel::ShortRateTree>::partialRollback(QuantLib::DiscretizedAsset&, double) const
165
166		template <class Impl>
167		void TreeLattice<Impl>::stepback(Size i, const Array& values,
168	0	Array& newValues) const {
169	0	#pragma omp parallel for
170	0	for (long j=0; j<(long)this->impl().size(i); j++) {
171	0	Real value = 0.0;
172	0	for (Size l=0; l<n_; l++) {
173	0	value += this->impl().probability(i,j,l) *
174	0	values[this->impl().descendant(i,j,l)];
175	0	}
176	0	value *= this->impl().discount(i,j);
177	0	newValues[j] = value;
178	0	}
179	0	} Unexecuted instantiation: QuantLib::TreeLattice<QuantLib::OneFactorModel::ShortRateTree>::stepback(unsigned long, QuantLib::Array const&, QuantLib::Array&) const Unexecuted instantiation: QuantLib::TreeLattice<QuantLib::TwoFactorModel::ShortRateTree>::stepback(unsigned long, QuantLib::Array const&, QuantLib::Array&) const
180
181		}
182
183
184		#endif

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Created: 2025-08-05 06:45