QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
methods
finitedifferences
zerocondition.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
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Copyright (C) 2003, 2004, 2005 StatPro Italia srl
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file zerocondition.hpp
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\brief zero option exercise condition
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*/
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#ifndef quantlib_fd_zero_condition_h
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#define quantlib_fd_zero_condition_h
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#include <
ql/methods/finitedifferences/stepcondition.hpp
>
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namespace
QuantLib
{
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//! Zero exercise condition.
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/*! Used in CEV models */
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template
<
class
array_type>
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class
ZeroCondition
:
public
StepCondition
<array_type> {
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public
:
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void
applyTo
(array_type& a,
Time
)
const
{
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for
(
Size
i=0; i < a.size(); i++) {
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a[i] = std::max(a[i], 0.0);
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}
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}
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};
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}
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#endif
QuantLib::StepCondition
condition to be applied at every time step
Definition:
stepcondition.hpp:35
QuantLib::ZeroCondition
Zero exercise condition.
Definition:
zerocondition.hpp:35
QuantLib::ZeroCondition::applyTo
void applyTo(array_type &a, Time) const
Definition:
zerocondition.hpp:37
QuantLib::Time
Real Time
continuous quantity with 1-year units
Definition:
types.hpp:62
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
stepcondition.hpp
conditions to be applied at every time step
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