/usr/include/ql/experimental/finitedifferences/fdmstepconditioncomposite.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 55 56 57 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Andreas Gaida
Copyright (C) 2008 Ralph Schreyer
Copyright (C) 2008 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 fdmstepconditioncomposite.hpp
\brief composite of fdm step conditions
*/
#ifndef quantlib_fdm_step_condition_composite_hpp
#define quantlib_fdm_step_condition_composite_hpp
#include <ql/methods/finitedifferences/stepcondition.hpp>
#include <set>
namespace QuantLib {
class FdmSnapshotCondition;
class FdmStepConditionComposite : public StepCondition<Array> {
public:
typedef std::list<boost::shared_ptr<StepCondition<Array> > > Conditions;
FdmStepConditionComposite(
const std::list<std::vector<Time> > & stoppingTimes,
const Conditions & conditions);
void applyTo(Array& a, Time t) const;
const std::vector<Time>& stoppingTimes() const;
const Conditions& conditions() const;
static boost::shared_ptr<FdmStepConditionComposite> joinConditions(
const boost::shared_ptr<FdmSnapshotCondition>& c1,
const boost::shared_ptr<FdmStepConditionComposite>& c2);
private:
std::vector<Time> stoppingTimes_;
const Conditions conditions_;
};
}
#endif
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