| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2008 Andreas Gaida |
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| 5 | Copyright (C) 2008 Ralph Schreyer |
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| 6 | Copyright (C) 2008 Klaus Spanderen |
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| 7 | |
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| 8 | This file is part of QuantLib, a free-software/open-source library |
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| 9 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 10 | |
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| 11 | QuantLib is free software: you can redistribute it and/or modify it |
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| 12 | under the terms of the QuantLib license. You should have received a |
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| 13 | copy of the license along with this program; if not, please email |
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| 14 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 15 | <http://quantlib.org/license.shtml>. |
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| 16 | |
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| 17 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 18 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 19 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 20 | */ |
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| 21 | |
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| 22 | /*! \file fdmstepconditioncomposite.hpp |
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| 23 | \brief composite of fdm step conditions |
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| 24 | */ |
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| 25 | |
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| 26 | #ifndef quantlib_fdm_step_condition_composite_hpp |
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| 27 | #define quantlib_fdm_step_condition_composite_hpp |
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| 28 | |
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| 29 | #include <ql/time/date.hpp> |
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| 30 | #include <ql/time/daycounter.hpp> |
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| 31 | #include <ql/instruments/dividendschedule.hpp> |
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| 32 | #include <ql/methods/finitedifferences/stepcondition.hpp> |
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| 33 | |
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| 34 | #include <list> |
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| 35 | |
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| 36 | namespace QuantLib { |
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| 37 | |
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| 38 | class FdmMesher; |
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| 39 | class Exercise; |
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| 40 | class FdmSnapshotCondition; |
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| 41 | class FdmInnerValueCalculator; |
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| 42 | |
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| 43 | class FdmStepConditionComposite : public StepCondition<Array> { |
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| 44 | public: |
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| 45 | typedef std::list<ext::shared_ptr<StepCondition<Array> > > Conditions; |
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| 46 | |
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| 47 | FdmStepConditionComposite(const std::list<std::vector<Time> >& stoppingTimes, |
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| 48 | Conditions conditions); |
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| 49 | |
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| 50 | void applyTo(Array& a, Time t) const override; |
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| 51 | const std::vector<Time>& stoppingTimes() const; |
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| 52 | const Conditions& conditions() const; |
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| 53 | |
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| 54 | static ext::shared_ptr<FdmStepConditionComposite> joinConditions( |
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| 55 | const ext::shared_ptr<FdmSnapshotCondition>& c1, |
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| 56 | const ext::shared_ptr<FdmStepConditionComposite>& c2); |
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| 57 | |
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| 58 | static ext::shared_ptr<FdmStepConditionComposite> vanillaComposite( |
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| 59 | const DividendSchedule& schedule, |
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| 60 | const ext::shared_ptr<Exercise>& exercise, |
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| 61 | const ext::shared_ptr<FdmMesher>& mesher, |
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| 62 | const ext::shared_ptr<FdmInnerValueCalculator>& calculator, |
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| 63 | const Date& refDate, |
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| 64 | const DayCounter& dayCounter); |
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| 65 | |
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| 66 | private: |
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| 67 | std::vector<Time> stoppingTimes_; |
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| 68 | const Conditions conditions_; |
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| 69 | }; |
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| 70 | } |
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| 71 | #endif |
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| 72 | |
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