public override void partialRollback(DiscretizedAsset asset, double to)
{
double from = asset.time();
if (Utils.close(from, to))
{
return;
}
Utils.QL_REQUIRE(from > to, () => "cannot roll the asset back to" + to + " (it is already at t = " + from + ")");
int iFrom = t_.index(from);
int iTo = t_.index(to);
for (int i = iFrom - 1; i >= iTo; --i)
{
Vector newValues = new Vector(impl().size(i));
impl().stepback(i, asset.values(), newValues);
asset.setTime(t_[i]);
asset.setValues(newValues);
// skip the very last adjustment
if (i != iTo)
{
asset.adjustValues();
}
}
}
//! Computes the present value of an asset using Arrow-Debrew prices
public override double presentValue(DiscretizedAsset asset)
{
int i = t_.index(asset.time());
return(Vector.DotProduct(asset.values(), statePrices(i)));
}