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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

 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.

#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
#include <ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp>

namespace QuantLib {

            const std::vector<Date>& exerciseDates,
            const Date& referenceDate,
            const DayCounter& dayCounter,
            const boost::shared_ptr<FdmMesher> & mesher,
            const boost::shared_ptr<FdmInnerValueCalculator> & calculator)
    : mesher_    (mesher),
      calculator_(calculator) {
        for (std::vector<Date>::const_iterator iter = exerciseDates.begin();
            iter != exerciseDates.end(); ++iter) {
                             dayCounter.yearFraction(referenceDate, *iter));

    const std::vector<Time>& FdmBermudanStepCondition::exerciseTimes() const {
        return exerciseTimes_;
    void FdmBermudanStepCondition::applyTo(Array& a, Time t) const {
        if (std::find(exerciseTimes_.begin(), exerciseTimes_.end(), t) 
              != exerciseTimes_.end()) {
            boost::shared_ptr<FdmLinearOpLayout> layout = mesher_->layout();
            const FdmLinearOpIterator endIter = layout->end();

            const Size dims = layout->dim().size();
            Array locations(dims);

            for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
                ++iter) {
                for (Size i=0; i < dims; ++i)
                    locations[i] = mesher_->location(iter, i);

                const Real innerValue = calculator_->innerValue(iter);
                if (innerValue > a[iter.index()]) {
                    a[iter.index()] = innerValue;

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