fdmstepconditioncomposite.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 Ralph Schreyer
 Copyright (C) 2008 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 fdmstepconditioncomposite.hpp
    \brief composite of fdm step conditions
*/
 
#ifndef quantlib_fdm_step_condition_composite_hpp
#define quantlib_fdm_step_condition_composite_hpp
 
#include <ql/time/date.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/instruments/dividendschedule.hpp>
#include <ql/methods/finitedifferences/stepcondition.hpp>
 
#include <list>
 
namespace QuantLib {
 
    class FdmMesher;
    class Exercise;
    class FdmSnapshotCondition;
    class FdmInnerValueCalculator;
    
    class FdmStepConditionComposite : public StepCondition<Array> {
    public:
        typedef std::list<ext::shared_ptr<StepCondition<Array> > > Conditions;
 
        FdmStepConditionComposite(const std::list<std::vector<Time> >& stoppingTimes,
                                  Conditions conditions);
 
        void applyTo(Array& a, Time t) const override;
        const std::vector<Time>& stoppingTimes() const;
        const Conditions& conditions() const;
 
        static ext::shared_ptr<FdmStepConditionComposite> joinConditions(
                    const ext::shared_ptr<FdmSnapshotCondition>& c1,
                    const ext::shared_ptr<FdmStepConditionComposite>& c2);
 
        static ext::shared_ptr<FdmStepConditionComposite> vanillaComposite(
             const DividendSchedule& schedule,
             const ext::shared_ptr<Exercise>& exercise,
             const ext::shared_ptr<FdmMesher>& mesher,
             const ext::shared_ptr<FdmInnerValueCalculator>& calculator,
             const Date& refDate,
             const DayCounter& dayCounter);
        
    private:
        std::vector<Time> stoppingTimes_;
        const Conditions conditions_;
    };
}
#endif