text: /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
  
  /*
   Copyright (C) 2006, 2007 Ferdinando Ametrano
   Copyright (C) 2006, 2007 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/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 <ql/models/marketmodels/evolvers/lognormalcotswapratepc.hpp>
  #include <ql/models/marketmodels/marketmodel.hpp>
  #include <ql/models/marketmodels/evolutiondescription.hpp>
  #include <ql/models/marketmodels/browniangenerator.hpp>
  #include <ql/models/marketmodels/driftcomputation/smmdriftcalculator.hpp>
  
  namespace QuantLib {
  
      LogNormalCotSwapRatePc::LogNormalCotSwapRatePc(
                             const std::shared_ptr<MarketModel>& marketModel,
                             const BrownianGeneratorFactory& factory,
                             const std::vector<Size>& numeraires,
                             Size initialStep)
      : marketModel_(marketModel),
        numeraires_(numeraires),
        initialStep_(initialStep),
        numberOfRates_(marketModel->numberOfRates()),
        numberOfFactors_(marketModel_->numberOfFactors()),
        curveState_(marketModel->evolution().rateTimes()),
        swapRates_(marketModel->initialRates()),
        displacements_(marketModel->displacements()),
        logSwapRates_(numberOfRates_), initialLogSwapRates_(numberOfRates_),
        drifts1_(numberOfRates_), drifts2_(numberOfRates_),
        initialDrifts_(numberOfRates_),
        brownians_(numberOfFactors_), correlatedBrownians_(numberOfRates_),
        alive_(marketModel->evolution().firstAliveRate())
      {
          checkCompatibility(marketModel->evolution(), numeraires);
  
          Size steps = marketModel->evolution().numberOfSteps();
  
          generator_ = factory.create(numberOfFactors_, steps-initialStep_);
  
          currentStep_ = initialStep_;
  
          calculators_.reserve(steps);
          fixedDrifts_.reserve(steps);
          for (Size j=0; j<steps; ++j) {
              const Matrix& A = marketModel_->pseudoRoot(j);
              calculators_.emplace_back(SMMDriftCalculator(A,
                                                        displacements_,
                                                        marketModel->evolution().rateTaus(),
                                                        numeraires[j],
                                                        alive_[j]));
              std::vector<Real> fixed(numberOfRates_);
              for (Size k=0; k<numberOfRates_; ++k) {
                  Real variance =
                      std::inner_product(A.row_begin(k), A.row_end(k),
                                         A.row_begin(k), 0.0);
                  fixed[k] = -0.5*variance;
              }
              fixedDrifts_.emplace_back(fixed);
          }
  
          setCoterminalSwapRates(marketModel_->initialRates());
      }
  
      const std::vector<Size>& LogNormalCotSwapRatePc::numeraires() const {
          return numeraires_;
      }
  
      void LogNormalCotSwapRatePc::setCoterminalSwapRates(const std::vector<Real>& swapRates)
      {
          QL_REQUIRE(swapRates.size()==numberOfRates_,
                     "mismatch between swapRates and rateTimes");
          for (Size i=0; i<numberOfRates_; ++i)
              initialLogSwapRates_[i] = std::log(swapRates[i] +
                                                 displacements_[i]);
          curveState_.setOnCoterminalSwapRates(swapRates);
          calculators_[initialStep_].compute(curveState_, initialDrifts_);
      }
  
      void LogNormalCotSwapRatePc::setInitialState(const CurveState& cs) {
          // why??
          const CoterminalSwapCurveState* cotcs = dynamic_cast<const CoterminalSwapCurveState*>(&cs);
          const std::vector<Real>& swapRates = cotcs->coterminalSwapRates();
          setCoterminalSwapRates(swapRates);
      }
  
      Real LogNormalCotSwapRatePc::startNewPath() {
          currentStep_ = initialStep_;
          std::copy(initialLogSwapRates_.begin(), initialLogSwapRates_.end(),
                    logSwapRates_.begin());
          return generator_->nextPath();
      }
  
      Real LogNormalCotSwapRatePc::advanceStep()
      {
           //we're going from T1 to T2
  
          //a) compute drifts D1 at T1;
          if (currentStep_ > initialStep_)
              calculators_[currentStep_].compute(curveState_, drifts1_);
          else
              std::copy(initialDrifts_.begin(), initialDrifts_.end(),
                        drifts1_.begin());
  
          //b) evolve forwards up to T2 using D1;
          Real weight = generator_->nextStep(brownians_);
          const Matrix& A = marketModel_->pseudoRoot(currentStep_);
          const std::vector<Real>& fixedDrift = fixedDrifts_[currentStep_];
  
          Size i, alive = alive_[currentStep_];
          for (i=alive; i<numberOfRates_; ++i) {
              logSwapRates_[i] += drifts1_[i] + fixedDrift[i];
              logSwapRates_[i] +=
                  std::inner_product(A.row_begin(i), A.row_end(i),
                                     brownians_.begin(), 0.0);
              swapRates_[i] = std::exp(logSwapRates_[i]) - displacements_[i];
          }
  
          // intermediate curve state update
          curveState_.setOnCoterminalSwapRates(swapRates_);
  
          //c) recompute drifts D2 using the predicted forwards;
          calculators_[currentStep_].compute(curveState_, drifts2_);
  
          //d) correct forwards using both drifts
          for (i=alive; i<numberOfRates_; ++i) {
              logSwapRates_[i] += (drifts2_[i]-drifts1_[i])/2.0;
              swapRates_[i] = std::exp(logSwapRates_[i]) - displacements_[i];
          }
  
          //e) update curve state
          curveState_.setOnCoterminalSwapRates(swapRates_);
  
          ++currentStep_;
  
          return weight;
      }
  
      Size LogNormalCotSwapRatePc::currentStep() const {
          return currentStep_;
      }
  
      const CurveState& LogNormalCotSwapRatePc::currentState() const {
          return curveState_;
      }
  
  }
  