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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2002, 2003 Sadruddin Rejeb
Copyright (C) 2004 StatPro Italia 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.
*/
#include <ql/pricingengines/vanilla/discretizedvanillaoption.hpp>
#include <vector>
namespace QuantLib {
DiscretizedVanillaOption::DiscretizedVanillaOption(
const VanillaOption::arguments& args,
const StochasticProcess& process,
const TimeGrid& grid)
: arguments_(args) {
stoppingTimes_.resize(args.exercise->dates().size());
for (Size i=0; i<stoppingTimes_.size(); ++i) {
stoppingTimes_[i] =
process.time(args.exercise->date(i));
if (!grid.empty()) {
// adjust to the given grid
stoppingTimes_[i] = grid.closestTime(stoppingTimes_[i]);
}
}
}
void DiscretizedVanillaOption::reset(Size size) {
values_ = Array(size, 0.0);
adjustValues();
}
void DiscretizedVanillaOption::postAdjustValuesImpl() {
Time now = time();
switch (arguments_.exercise->type()) {
case Exercise::American:
if (now <= stoppingTimes_[1] &&
now >= stoppingTimes_[0])
applySpecificCondition();
break;
case Exercise::European:
if (isOnTime(stoppingTimes_[0]))
applySpecificCondition();
break;
case Exercise::Bermudan:
for (Size i=0; i<stoppingTimes_.size(); i++) {
if (isOnTime(stoppingTimes_[i]))
applySpecificCondition();
}
break;
default:
QL_FAIL("invalid option type");
}
}
void DiscretizedVanillaOption::applySpecificCondition() {
Array grid = method()->grid(time());
for (Size j=0; j<values_.size(); j++) {
values_[j] = std::max(values_[j],
(*arguments_.payoff)(grid[j]));
}
}
}
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