Coverage Report

Created: 2025-08-28 06:30

/src/quantlib/ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.cpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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 Copyright (C) 2008 Andreas Gaida
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 Copyright (C) 2008, 2009 Ralph Schreyer
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 Copyright (C) 2008, 2009 Klaus Spanderen
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 This file is part of QuantLib, a free-software/open-source library
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 for financial quantitative analysts and developers - http://quantlib.org/
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 QuantLib is free software: you can redistribute it and/or modify it
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 under the terms of the QuantLib license.  You should have received a
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 copy of the license along with this program; if not, please email
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 <quantlib-dev@lists.sf.net>. The license is also available online at
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 <http://quantlib.org/license.shtml>.
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 This program is distributed in the hope that it will be useful, but WITHOUT
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 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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 FOR A PARTICULAR PURPOSE.  See the license for more details.
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*/
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#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
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#include <ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp>
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#include <utility>
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namespace QuantLib {
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    FdmAmericanStepCondition::FdmAmericanStepCondition(
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        ext::shared_ptr<FdmMesher> mesher, ext::shared_ptr<FdmInnerValueCalculator> calculator)
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    : mesher_(std::move(mesher)), calculator_(std::move(calculator)) {}
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    void FdmAmericanStepCondition::applyTo(Array& a, Time t) const {
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        QL_REQUIRE(mesher_->layout()->size() == a.size(),
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                   "inconsistent array dimensions");
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        for (const auto& iter : *mesher_->layout()) {
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            const Real innerValue = calculator_->innerValue(iter, t);
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            if (innerValue > a[iter.index()]) {
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                a[iter.index()] = innerValue;
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            }
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        }
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    }
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}