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

/*
 Copyright (C) 2010 Klaus Spanderen

 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/license.shtml>.

 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 fdbatesvanillaengine.hpp
    \brief Partial Integro Finite-Differences Bates vanilla option engine
*/

#ifndef quantlib_fd_bates_vanilla_engine_hpp
#define quantlib_fd_bates_vanilla_engine_hpp

#include <ql/models/equity/batesmodel.hpp>
#include <ql/instruments/dividendvanillaoption.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>

namespace QuantLib {

    class FdHestonVanillaEngine;

    //! Partial Integro FiniteDifferences Bates Vanilla Option engine

    /*! \ingroup vanillaengines
    */
00040     class FdBatesVanillaEngine
        : public GenericModelEngine<BatesModel,
                                    DividendVanillaOption::arguments,
                                    DividendVanillaOption::results> {
      public:
        FdBatesVanillaEngine(
            const boost::shared_ptr<BatesModel>& model,
            Size tGrid = 100, Size xGrid = 100, 
            Size vGrid = 50, Size dampingSteps = 0,
            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());

        
        void calculate() const;
        
        // deligate rest of the interface
        arguments* getArguments() const;
        const results* getResults() const;
        void reset();

      private:
        const boost::shared_ptr<FdHestonVanillaEngine> hestonEngine_;
    };
}

#endif

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