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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 Klaus Spanderen
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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.
*/
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp>
namespace QuantLib {
FdmBermudanStepCondition::FdmBermudanStepCondition(
const std::vector<Date>& exerciseDates,
const Date& referenceDate,
const DayCounter& dayCounter,
const boost::shared_ptr<FdmMesher> & mesher,
const boost::shared_ptr<FdmInnerValueCalculator> & calculator)
: mesher_ (mesher),
calculator_(calculator) {
exerciseTimes_.reserve(exerciseDates.size());
for (std::vector<Date>::const_iterator iter = exerciseDates.begin();
iter != exerciseDates.end(); ++iter) {
exerciseTimes_.push_back(
dayCounter.yearFraction(referenceDate, *iter));
}
}
const std::vector<Time>& FdmBermudanStepCondition::exerciseTimes() const {
return exerciseTimes_;
}
void FdmBermudanStepCondition::applyTo(Array& a, Time t) const {
if (std::find(exerciseTimes_.begin(), exerciseTimes_.end(), t)
!= exerciseTimes_.end()) {
boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
const FdmLinearOpIterator endIter = layout->end();
const Size dims = layout->dim().size();
Array locations(dims);
for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
++iter) {
for (Size i=0; i < dims; ++i)
locations[i] = mesher_->location(iter, i);
const Real innerValue = calculator_->innerValue(iter, t);
if (innerValue > a[iter.index()]) {
a[iter.index()] = innerValue;
}
}
}
}
}
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