QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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fdmamericanstepcondition.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008 Andreas Gaida
5 Copyright (C) 2008 Ralph Schreyer
6 Copyright (C) 2008 Klaus Spanderen
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
22/*! \file fdmamericanstepcondition.hpp
23 \brief american step condition for multi dimensional problems
24*/
25
26#ifndef quantlib_fdm_american_step_condition_hpp
27#define quantlib_fdm_american_step_condition_hpp
28
32
33namespace QuantLib {
34
36 public:
37 FdmAmericanStepCondition(ext::shared_ptr<FdmMesher> mesher,
38 ext::shared_ptr<FdmInnerValueCalculator> calculator);
39
40 void applyTo(Array& a, Time) const override;
41
42 private:
43 const ext::shared_ptr<FdmMesher> mesher_;
44 const ext::shared_ptr<FdmInnerValueCalculator> calculator_;
45 };
46}
47#endif
1-D array used in linear algebra.
Definition: array.hpp:52
const ext::shared_ptr< FdmMesher > mesher_
const ext::shared_ptr< FdmInnerValueCalculator > calculator_
void applyTo(Array &a, Time) const override
condition to be applied at every time step
layer of abstraction to calculate the inner value
mesher for a fdm grid
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
Definition: any.hpp:35
conditions to be applied at every time step