/usr/include/ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp is in libquantlib0-dev 1.1-2build1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 | /* -*- 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.
*/
/*! \file fdmbermudanstepcondition.hpp
\brief bermudan step condition for multi dimensional problems
*/
#ifndef quantlib_fdm_bermudan_step_condition_hpp
#define quantlib_fdm_bermudan_step_condition_hpp
#include <ql/time/daycounter.hpp>
#include <ql/methods/finitedifferences/stepcondition.hpp>
#include <ql/experimental/finitedifferences/fdmmesher.hpp>
namespace QuantLib {
class FdmInnerValueCalculator;
class FdmBermudanStepCondition : public StepCondition<Array> {
public:
FdmBermudanStepCondition(
const std::vector<Date> & exerciseDates,
const Date& referenceDate,
const DayCounter& dayCounter,
const boost::shared_ptr<FdmMesher> & mesher,
const boost::shared_ptr<FdmInnerValueCalculator> & calculator);
void applyTo(Array& a, Time t) const;
const std::vector<Time>& exerciseTimes() const;
private:
std::vector<Time> exerciseTimes_;
const boost::shared_ptr<FdmMesher> mesher_;
const boost::shared_ptr<FdmInnerValueCalculator> calculator_;
};
}
#endif
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