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fdeuropean.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 fdeuropean.hpp
    \brief Example of European option calculated using finite differences
*/

#ifndef quantlib_pricers_finite_difference_european_option_h
#define quantlib_pricers_finite_difference_european_option_h

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

namespace QuantLib {

    #ifndef QL_DISABLE_DEPRECATED

    //! Example of European option calculated using finite differences
    /*! \deprecated use EuropeanOption with FDEuropeanEngine instead */
00036     class FdEuropean : public FdBsmOption {
      public:
        FdEuropean(Option::Type type,
                   Real underlying,
                   Real strike,
                   Spread dividendYield,
                   Rate riskFreeRate,
                   Time residualTime,
                   Volatility volatility,
                   Size timeSteps = 200,
                   Size gridPoints = 800);
        const Array& getPrices() const;
        boost::shared_ptr<SingleAssetOption> clone() const{
            return boost::shared_ptr<SingleAssetOption>(
                                             new FdEuropean(*this));
        }
      protected:
        void calculate() const;
      private:
        Size timeSteps_;
        mutable Array euroPrices_;
    };

    // inline definitions

    inline const Array& FdEuropean::getPrices() const{
        value();
        return euroPrices_;
    }

    #endif

}

#endif

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