QuantLib: a free/open-source library for quantitative finance
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zerocondition.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5 Copyright (C) 2003, 2004, 2005 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file zerocondition.hpp
22 \brief zero option exercise condition
23*/
24
25#ifndef quantlib_fd_zero_condition_h
26#define quantlib_fd_zero_condition_h
27
29
30namespace QuantLib {
31
32 //! Zero exercise condition.
33 /*! Used in CEV models */
34 template <class array_type>
35 class ZeroCondition : public StepCondition<array_type> {
36 public:
37 void applyTo(array_type& a, Time) const {
38 for(Size i=0; i < a.size(); i++) {
39 a[i] = std::max(a[i], 0.0);
40 }
41 }
42 };
43}
44
45
46#endif
condition to be applied at every time step
Zero exercise condition.
void applyTo(array_type &a, Time) const
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
conditions to be applied at every time step