fdconditions.hpp

来自「有很多的函数库」· HPP 代码 · 共 71 行

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2005 Joseph Wang

 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
 <[e-mail]>. 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 fdconditions.hpp
    \brief Finite-difference templates to generate engines
*/

#ifndef quantlib_fd_conditions_hpp
#define quantlib_fd_conditions_hpp

#include <ql/methods/finitedifferences/fdtypedefs.hpp>
#include <ql/methods/finitedifferences/americancondition.hpp>
#include <ql/methods/finitedifferences/shoutcondition.hpp>
#include <ql/interestrate.hpp>

namespace QuantLib {

  template <typename baseEngine>
  class FDAmericanCondition : public baseEngine {
  public:
      FDAmericanCondition(Size timeSteps=100, Size gridPoints=100,
                          bool timeDependent = false)
          : baseEngine(timeSteps, gridPoints, timeDependent) {}
  protected:
    void initializeStepCondition() const {
      baseEngine::stepCondition_ = boost::shared_ptr<StandardStepCondition>(
             new AmericanCondition(baseEngine::intrinsicValues_.values()));
    }
  };

  template <typename baseEngine>
  class FDShoutCondition : public baseEngine {
  public:
      FDShoutCondition(Size timeSteps=100, Size gridPoints=100,
                       bool timeDependent = false)
          : baseEngine(timeSteps, gridPoints, timeDependent) {}
  protected:
    void initializeStepCondition() const {
        Time residualTime = baseEngine::getResidualTime();
        Rate riskFreeRate = baseEngine::process_->riskFreeRate()
            ->zeroRate(residualTime, Continuous);

        baseEngine::stepCondition_ = boost::shared_ptr<StandardStepCondition>(
             new ShoutCondition(baseEngine::intrinsicValues_.values(),
                                residualTime,
                                riskFreeRate));
    }
  };


}


#endif