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fdminnervaluecalculator.hpp

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

/*
 Copyright (C) 2008 Andreas Gaida
 Copyright (C) 2008, 2009 Ralph Schreyer
 Copyright (C) 2008, 2009 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 fdminnervaluecalculator.hpp
    \brief layer of abstraction to calculate the inner value
*/

#ifndef quantlib_fdm_inner_value_calculator_hpp
#define quantlib_fdm_inner_value_calculator_hpp

#include <ql/types.hpp>
#include <boost/shared_ptr.hpp>
#include <vector>

namespace QuantLib {

    class Payoff;
    class BasketPayoff;
    class FdmMesher;
    class FdmLinearOpIterator;

00040     class FdmInnerValueCalculator {
      public:
        virtual ~FdmInnerValueCalculator() {}

        virtual Real innerValue(const FdmLinearOpIterator& iter) = 0;
        virtual Real avgInnerValue(const FdmLinearOpIterator& iter) = 0;
    };


00049     class FdmLogInnerValue : public FdmInnerValueCalculator {
      public:
        FdmLogInnerValue(const boost::shared_ptr<Payoff>& payoff,
                         const boost::shared_ptr<FdmMesher>& mesher,
                         Size direction);

        Real innerValue(const FdmLinearOpIterator& iter);
        Real avgInnerValue(const FdmLinearOpIterator& iter);

      private:

        Real avgInnerValueCalc(const FdmLinearOpIterator& iter);

        const boost::shared_ptr<Payoff> payoff_;
        const boost::shared_ptr<FdmMesher> mesher_;
        const Size direction_;
        std::vector<Real> avgInnerValues_;
    };

00068     class FdmLogBasketInnerValue : public FdmInnerValueCalculator {
      public:
        FdmLogBasketInnerValue(const boost::shared_ptr<BasketPayoff>& payoff,
                               const boost::shared_ptr<FdmMesher>& mesher);

        Real innerValue(const FdmLinearOpIterator& iter);
        Real avgInnerValue(const FdmLinearOpIterator& iter);

      private:
        const boost::shared_ptr<BasketPayoff> payoff_;
        const boost::shared_ptr<FdmMesher> mesher_;
    };
}

#endif

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