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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
<https://www.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/fdmbermudanstepcondition.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <utility>
namespace QuantLib {
FdmBermudanStepCondition::FdmBermudanStepCondition(
const std::vector<Date>& exerciseDates,
const Date& referenceDate,
const DayCounter& dayCounter,
ext::shared_ptr<FdmMesher> mesher,
ext::shared_ptr<FdmInnerValueCalculator> calculator)
: mesher_(std::move(mesher)), calculator_(std::move(calculator)) {
exerciseTimes_.reserve(exerciseDates.size());
for (auto exerciseDate : exerciseDates) {
exerciseTimes_.push_back(dayCounter.yearFraction(referenceDate, exerciseDate));
}
}
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()) {
QL_REQUIRE(mesher_->layout()->size() == a.size(),
"inconsistent array dimensions");
const Size dims = mesher_->layout()->dim().size();
Array locations(dims);
for (const auto& iter : *mesher_->layout()) {
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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