Logo Search packages:      
Sourcecode: quantlib version File versions

fdmultiperiodoption.hpp

Go to the documentation of this file.
/* -*- 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 fdmultiperiodoption.hpp
    \brief base class for option with events happening at different periods
*/

#ifndef quantlib_multi_period_option_pricer_h
#define quantlib_multi_period_option_pricer_h

#include <ql/Pricers/fdbsmoption.hpp>
#include <ql/FiniteDifferences/fdtypedefs.hpp>
#include <ql/PricingEngines/blackformula.hpp>

namespace QuantLib {

    #ifndef QL_DISABLE_DEPRECATED

    /*! \deprecated derive engines from FDMultiPeriodEngine instead */
00036     class FdMultiPeriodOption : public FdBsmOption {
      public:
        Real controlVariateCorrection() const;
      protected:
        // constructor
        FdMultiPeriodOption(Option::Type type, Real underlying,
                            Real strike, Spread dividendYield,
                            Rate riskFreeRate, Time residualTime,
                            Volatility volatility, Size gridPoints,
                            const std::vector<Time>& dates,
                            Size timeSteps);
        // Protected attributes
        std::vector<Time> dates_;
        Size dateNumber_;
        Size timeStepPerPeriod_;
        bool lastDateIsResTime_;
        Integer lastIndex_;
        bool firstDateIsZero_;
        Time firstNonZeroDate_;
        Integer firstIndex_;
        mutable boost::shared_ptr<BlackFormula> analytic_;
        mutable Array prices_, controlPrices_;
        mutable boost::shared_ptr<StandardStepCondition> stepCondition_;
        mutable boost::shared_ptr<StandardFiniteDifferenceModel> model_;
        // Methods
        void calculate() const;
        virtual void initializeControlVariate() const;
        virtual void initializeModel() const;
        virtual void initializeStepCondition() const;
        virtual void executeIntermediateStep(Size step) const = 0;
      private:
        mutable Real controlVariateCorrection_;
    };

    #endif

}


#endif

Generated by  Doxygen 1.6.0   Back to index