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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 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
<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.
*/
/*! \file stepcondition.hpp
\brief conditions to be applied at every time step
*/
#ifndef quantlib_step_condition_hpp
#define quantlib_step_condition_hpp
#include <ql/math/array.hpp>
#include <ql/instruments/payoffs.hpp>
namespace QuantLib {
//! condition to be applied at every time step
/*! \ingroup findiff */
template <class array_type>
class StepCondition {
public:
virtual ~StepCondition() {}
virtual void applyTo(array_type& a, Time t) const = 0;
};
/* */
/*! Abstract base class which allows step conditions to use both
payoff and array functions.
\deprecated Inherit from StepCondition directly instead.
Deprecated in version 1.19.
*/
template <class array_type>
class QL_DEPRECATED CurveDependentStepCondition :
public StepCondition<array_type> {
public:
void applyTo(Array &a, Time) const {
//#pragma omp parallel for
for (Size i = 0; i < a.size(); i++) {
a[i] =
applyToValue(a[i], getValue(a,i));
}
}
protected:
#if defined(QL_PATCH_MSVC)
#pragma warning(push)
#pragma warning(disable:4996)
#endif
CurveDependentStepCondition(Option::Type type, Real strike)
: curveItem_(new PayoffWrapper(type, strike)) {};
CurveDependentStepCondition(const Payoff *p)
: curveItem_(new PayoffWrapper(p)) {};
CurveDependentStepCondition(const array_type & a)
: curveItem_(new ArrayWrapper(a)) {};
#if defined(QL_PATCH_MSVC)
#pragma warning(pop)
#endif
class CurveWrapper;
ext::shared_ptr<CurveWrapper> curveItem_;
Real getValue(const array_type &a, Size index) const {
return curveItem_->getValue(a, index);
}
virtual Real applyToValue(Real, Real) const {
QL_FAIL("not yet implemented");
}
class CurveWrapper {
public:
virtual ~CurveWrapper() {}
virtual Real getValue(const array_type &a,
int i) = 0;
};
class ArrayWrapper : public CurveWrapper {
private:
array_type value_;
public:
ArrayWrapper (const array_type &a)
: value_(a) {}
Real getValue(const array_type&, int i) {
return value_[i];
}
};
class PayoffWrapper : public CurveWrapper {
private:
ext::shared_ptr<const Payoff> payoff_;
public:
PayoffWrapper (const Payoff * p)
: payoff_(p) {};
PayoffWrapper (Option::Type type, Real strike)
: payoff_(new PlainVanillaPayoff(type, strike)) {};
Real getValue(const array_type &a,
int i) {
return (*payoff_)(a[i]);
}
};
};
//! %null step condition
/*! \ingroup findiff */
template <class array_type>
class NullCondition : public StepCondition<array_type> {
public:
void applyTo(array_type&, Time) const {}
};
}
#endif
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