/**
* 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);
}
