/src/quantlib/ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2008 Andreas Gaida |
5 | | Copyright (C) 2008, 2009 Ralph Schreyer |
6 | | Copyright (C) 2008, 2009 Klaus Spanderen |
7 | | |
8 | | This file is part of QuantLib, a free-software/open-source library |
9 | | for financial quantitative analysts and developers - http://quantlib.org/ |
10 | | |
11 | | QuantLib is free software: you can redistribute it and/or modify it |
12 | | under the terms of the QuantLib license. You should have received a |
13 | | copy of the license along with this program; if not, please email |
14 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
15 | | <http://quantlib.org/license.shtml>. |
16 | | |
17 | | This program is distributed in the hope that it will be useful, but WITHOUT |
18 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
19 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
20 | | */ |
21 | | |
22 | | #include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp> |
23 | | #include <ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp> |
24 | | #include <utility> |
25 | | |
26 | | namespace QuantLib { |
27 | | |
28 | | FdmAmericanStepCondition::FdmAmericanStepCondition( |
29 | | ext::shared_ptr<FdmMesher> mesher, ext::shared_ptr<FdmInnerValueCalculator> calculator) |
30 | 0 | : mesher_(std::move(mesher)), calculator_(std::move(calculator)) {} |
31 | | |
32 | 0 | void FdmAmericanStepCondition::applyTo(Array& a, Time t) const { |
33 | 0 | QL_REQUIRE(mesher_->layout()->size() == a.size(), |
34 | 0 | "inconsistent array dimensions"); |
35 | | |
36 | 0 | for (const auto& iter : *mesher_->layout()) { |
37 | 0 | const Real innerValue = calculator_->innerValue(iter, t); |
38 | 0 | if (innerValue > a[iter.index()]) { |
39 | 0 | a[iter.index()] = innerValue; |
40 | 0 | } |
41 | 0 | } |
42 | 0 | } |
43 | | } |