/*
* private double inner_product(IEnumerable a, IEnumerable b, double val)
* {
* IEnumerator ita = a.GetEnumerator();
* IEnumerator itb = b.GetEnumerator();
* while( ita.MoveNext() && itb.MoveNext() )
* val += (double)ita.Current * (double)itb.Current;
* return val;
* }
*/
#region NumericalMethod interface
/// <summary>
/// Initialize a DiscretizedAsset object.
/// </summary>
/// <param name="asset"></param>
/// <param name="time"></param>
public override void Initialize(IDiscretizedAsset asset, double time)
{
int i = TimeGrid.FindIndex(time);
asset.Time = time;
asset.Reset(Count(i));
}
/// <summary>
/// Roll-back a DiscretizedAsset object until a certain time.
/// </summary>
/// <param name="asset"></param>
/// <param name="toTime"></param>
public override void Rollback(IDiscretizedAsset asset, double toTime)
{
double from = asset.Time; // Can't Rollback to the future:
if (from < toTime)
{
throw new ArgumentException("LatBackFut");
}
int iFrom = TimeGrid.FindIndex(from);
int iTo = TimeGrid.FindIndex(toTime);
for (int i = iFrom - 1; i >= iTo; i--)
{
var newValues = new double[Count(i)];
Stepback(i, asset.Values, newValues);
asset.Time = TimeGrid[i];
asset.Values = newValues;
asset.AdjustValues();
}
}
/// <summary>
/// Computes the present value of an asset using Arrow-Debrew prices.
/// </summary>
/// <param name="asset"></param>
/// <returns></returns>
public double PresentValue(IDiscretizedAsset asset)
{
int i = TimeGrid.FindIndex(asset.Time);
if (i > _statePricesLimit)
{
ComputeStatePrices(i);
}
// return DotProduct(asset.Values, statePrices[i]);
var prices = (double[])_statePrices[i];
Debug.Assert(
asset.Values.Length == prices.Length,
"arrays with different sizes cannot be multiplied.");
double val = 0.0;
for (int j = 0; j < prices.Length; j++)
{
val += asset.Values[j] * prices[j];
}
return(val);
// return inner_product(asset.Values, statePriceValues(i), 0.0);
}
/// <summary> /// Roll-back a DiscretizedAsset object until a certain time. /// </summary> /// <param name="asset"></param> /// <param name="toTime"></param> public abstract void Rollback(IDiscretizedAsset asset, double toTime);
/// <summary> /// Initialize a DiscretizedAsset object. /// </summary> /// <param name="asset"></param> /// <param name="time"></param> public abstract void Initialize(IDiscretizedAsset asset, double time);
