fdmamericanstepcondition.cpp

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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.
*/
 
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp>
#include <utility>
 
namespace QuantLib {
 
    FdmAmericanStepCondition::FdmAmericanStepCondition(
        ext::shared_ptr<FdmMesher> mesher, ext::shared_ptr<FdmInnerValueCalculator> calculator)
    : mesher_(std::move(mesher)), calculator_(std::move(calculator)) {}
 
    void FdmAmericanStepCondition::applyTo(Array& a, Time t) const {
        QL_REQUIRE(mesher_->layout()->size() == a.size(),
                   "inconsistent array dimensions");
 
        for (const auto& iter : *mesher_->layout()) {
            const Real innerValue = calculator_->innerValue(iter, t);
            if (innerValue > a[iter.index()]) {
                a[iter.index()] = innerValue;
            }
        }
    }
}