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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
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 ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
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.
*/
/*! \file shoutcondition.hpp
\brief shout option exercise condition
\fullpath
ql/FiniteDifferences/%shoutcondition.hpp
*/
// $Id: shoutcondition.hpp,v 1.4 2002/01/16 14:43:25 nando Exp $
#ifndef quantlib_fd_shout_condition_h
#define quantlib_fd_shout_condition_h
#include <ql/FiniteDifferences/fdtypedefs.hpp>
namespace QuantLib {
namespace FiniteDifferences {
class ShoutCondition
: public FiniteDifferences::StandardStepCondition {
public:
ShoutCondition(const Array& initialPrices,
Time resTime,
Rate rate);
void applyTo(Array& a,
Time t) const;
private:
Array initialPrices_;
Time resTime_;
Rate rate_;
};
inline ShoutCondition::ShoutCondition(
const Array& initialPrices, Time resTime, Rate rate)
: initialPrices_(initialPrices), resTime_(resTime), rate_(rate) {}
inline void ShoutCondition::applyTo(Array& a, Time t) const {
for (Size i = 0; i < a.size(); i++)
a[i] = QL_MAX(a[i], QL_EXP(-rate_ * (t - resTime_)) *
initialPrices_[i] );
}
}
}
#endif
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