/**
* Method for calculating the returns on a given rate path, via the definition for the
* instantaneous compounded return. u_i = \ln{\frac{S_i}{S_{i-1}}}
*
* @return the return, as defined.
* @exception DemoException thrown if there is a problem with the calculation.
*/
public ReturnPath getReturnCompounded() throws DemoException {
if (pathValue == null || nAcceptedPathValue == 0) {
throw new DemoException("The Rate Path has not been defined!");
}
double[] returnPathValue = new double[nAcceptedPathValue];
returnPathValue[0] = 0.0;
try {
for (int i = 1; i < nAcceptedPathValue; i++) {
returnPathValue[i] = Math.log(pathValue[i] / pathValue[i - 1]);
}
} catch (ArithmeticException aex) {
throw new DemoException("Error in getReturnLogarithm:" + aex.toString());
}
ReturnPath rPath = new ReturnPath(returnPathValue, nAcceptedPathValue, ReturnPath.COMPOUNDED);
//
// Copy the PathId information to the ReturnPath object.
rPath.copyInstanceVariables(this);
rPath.estimatePath();
return (rPath);
}
public void meetInto(ReturnPath fact, Edge edge, ReturnPath result)
throws DataflowAnalysisException {
switch (edge.getType()) {
case UNHANDLED_EXCEPTION_EDGE:
fact = new ReturnPath(ReturnPath.UE);
break;
case EXIT_EDGE:
fact = new ReturnPath(ReturnPath.EXIT);
break;
}
result.mergeWith(fact);
}
/**
* Method for copying the suitable instance variable from a <code>ReturnPath</code> object.
*
* @param obj Object used to define the instance variables which should be carried over to this
* object.
* @exception DemoException thrown if there is a problem accessing the instance variables from the
* target objetct.
*/
private void copyInstanceVariables(ReturnPath obj) throws DemoException {
//
// Instance variables defined in the PathId object.
set_name(obj.get_name());
set_startDate(obj.get_startDate());
set_endDate(obj.get_endDate());
set_dTime(obj.get_dTime());
//
// Instance variables defined in this object.
this.returnDefinition = obj.get_returnDefinition();
this.expectedReturnRate = obj.get_expectedReturnRate();
this.volatility = obj.get_volatility();
}
public boolean same(ReturnPath fact1, ReturnPath fact2) {
return fact1.sameAs(fact2);
}
public boolean isTop(ReturnPath fact) {
return fact.getKind() == ReturnPath.TOP;
}
public void makeFactTop(ReturnPath fact) {
fact.setKind(ReturnPath.TOP);
}
public void initEntryFact(ReturnPath fact) {
fact.setKind(ReturnPath.RETURNS);
}
public void copy(ReturnPath source, ReturnPath dest) {
dest.copyFrom(source);
}
