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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/stepconditions/fdmsimpleswingcondition.hpp>
namespace QuantLib {
FdmSimpleSwingCondition::FdmSimpleSwingCondition(
const std::vector<Time> & exerciseTimes,
const boost::shared_ptr<FdmMesher>& mesher,
const boost::shared_ptr<FdmInnerValueCalculator>& calculator,
Size swingDirection)
: exerciseTimes_ (exerciseTimes),
mesher_ (mesher),
calculator_ (calculator),
swingDirection_(swingDirection) {
}
void FdmSimpleSwingCondition::applyTo(Array& a, Time t) const {
const std::vector<Time>::const_iterator iter
= std::find(exerciseTimes_.begin(), exerciseTimes_.end(), t);
if (iter != exerciseTimes_.end()) {
Array retVal= a;
const Size d = std::distance(iter, exerciseTimes_.end());
const boost::shared_ptr<FdmLinearOpLayout> layout=mesher_->layout();
const FdmLinearOpIterator endIter = layout->end();
for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
++iter) {
const std::vector<Size>& coor = iter.coordinates();
const Size exerciseValue = coor[swingDirection_];
if (exerciseValue > 0) {
const Real cashflow = calculator_->innerValue(iter, t);
const Real currentValue = a[iter.index()];
const Real valueMinusOneExRight
= a[layout->neighbourhood(iter, swingDirection_, -1)];
if ( currentValue < cashflow + valueMinusOneExRight
|| exerciseValue >= d ) {
retVal[iter.index()] = cashflow + valueMinusOneExRight;
}
}
}
a = retVal;
}
}
}
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