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stepcondition.hpp

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

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl

 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/reference/license.html>.

 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 stepcondition.hpp
    \brief conditions to be applied at every time step
*/

#ifndef quantlib_step_condition_hpp
#define quantlib_step_condition_hpp

#include <ql/types.hpp>
#include <ql/Instruments/payoffs.hpp>

namespace QuantLib {

    //! condition to be applied at every time step
    /*! \ingroup findiff */
    template <class array_type>
00035     class StepCondition {
      public:
        virtual ~StepCondition() {}
        virtual void applyTo(array_type& a, Time t) const = 0;
    };

    /*! Abstract base class which allows step conditions to use both payoff and
      array functions */
    /*! \ingroup findiff */

    template <class array_type>
00046     class CurveDependentStepCondition : 
        public StepCondition<array_type> {
    public:
        void applyTo(Array &a, Time t) const {
            for (Size i = 0; i < a.size(); i++) {
                a[i] =
                    applyToValue(a[i], getValue(a,i));
            }
        }
    protected:
        CurveDependentStepCondition(Option::Type type, Real strike) 
            : curveItem_(new PayoffWrapper(type, strike)) {};
        CurveDependentStepCondition(const Payoff *p) 
            : curveItem_(new PayoffWrapper(p)) {};
        CurveDependentStepCondition(const array_type & a) 
            : curveItem_(new ArrayWrapper(a)) {};
        class CurveWrapper;

        boost::shared_ptr<CurveWrapper> curveItem_;
        Real getValue(const array_type &a, Size index) const {
            return curveItem_->getValue(a, index);
        }

        virtual Real applyToValue(Real current, Real intrinsic) const {
            QL_REQUIRE(false, 
                       "UNIMPLEMENTED FUNCTION CurveDependentStepCondition::ApplyToValue");
            return 0.0;
        }

        class CurveWrapper {
        public:
            virtual ~CurveWrapper() {};
            virtual Real getValue(const array_type &a,
                                  int i) = 0;
        };

        class ArrayWrapper : public CurveWrapper {
        private:
            array_type value_;
        public:
            ArrayWrapper (const array_type &a) :
                value_(a) {}
            
            Real getValue(const array_type &a,
                          int i) {
                return value_[i];
            }
        };
        class PayoffWrapper : public CurveWrapper {
        private:
            boost::shared_ptr<Payoff> payoff_;
        public:
            PayoffWrapper (const Payoff * p)
                : payoff_(p) {};
            PayoffWrapper (Option::Type type, Real strike) 
                : payoff_(new PlainVanillaPayoff(type, strike)) {};
            Real getValue(const array_type &a,
                          int i) {
                return (*payoff_)(a[i]);
            }
        };
    };


    //! null step condition
    /*! \ingroup findiff */
    template <class array_type>
00113     class NullCondition : public StepCondition<array_type> {
      public:
        void applyTo(array_type&, Time) const {}
    };

}


#endif

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