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/*
Copyright (C) 2001, 2002 Sadruddin Rejeb
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 numericalmethod.hpp
\brief Numerical method class
\fullpath
ql/%numericalmethod.hpp
*/
// $Id: numericalmethod.hpp,v 1.1 2002/03/05 01:10:36 sadrejeb Exp $
#ifndef quantlib_numerical_method_h
#define quantlib_numerical_method_h
#include <ql/array.hpp>
#include <ql/handle.hpp>
#include <list>
namespace QuantLib {
class NumericalDerivative;
class NumericalMethod {
public:
virtual void initialize(
const Handle<NumericalDerivative>& derivative,
Time time) const = 0;
virtual void rollback(
const Handle<NumericalDerivative>& derivative,
Time to) const = 0;
};
class NumericalDerivative {
public:
NumericalDerivative(const Handle<NumericalMethod>& method)
: method_(method) {}
virtual ~NumericalDerivative() {}
Time time() const { return time_; }
const Array& values() const { return values_; }
Array& values() { return values_; }
const Handle<NumericalMethod>& method() const { return method_; }
virtual void reset(Size size) = 0;
void setTime(Time t) { time_ = t; }
void setValues(const Array& values) { values_ = values; }
virtual void applyCondition() {}
virtual void addTimes(std::list<Time>& times) const {}
protected:
Array values_;
Time time_;
private:
Handle<NumericalMethod> method_;
};
class NumericalDiscountBond : public NumericalDerivative {
public:
NumericalDiscountBond(const Handle<NumericalMethod>& method)
: NumericalDerivative(method) {}
void reset(Size size) {
values_ = Array(size, 1.0);
}
};
}
#endif
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