/usr/include/ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp is in libquantlib0-dev 1.7.1-1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 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 fdmspreadpayoffinnervalue.hpp
\brief inner value calculator for a spread payoff
*/
#ifndef quantlib_fdm_spread_payoff_inner_value_hpp
#define quantlib_fdm_spread_payoff_inner_value_hpp
#include <ql/instruments/basketoption.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
namespace QuantLib {
class FdmSpreadPayoffInnerValue : public FdmInnerValueCalculator {
public:
FdmSpreadPayoffInnerValue(
const boost::shared_ptr<BasketPayoff>& payoff,
const boost::shared_ptr<FdmInnerValueCalculator>& calc1,
const boost::shared_ptr<FdmInnerValueCalculator>& calc2)
: payoff_(payoff),
calc1_(calc1),
calc2_(calc2) { }
Real innerValue(const FdmLinearOpIterator& iter, Time t) {
Array a(2);
a[0] = calc1_->innerValue(iter, t);
a[1] = calc2_->innerValue(iter, t);
return payoff_->operator()(a);
}
Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
return innerValue(iter, t);
}
private:
const boost::shared_ptr<BasketPayoff> payoff_;
const boost::shared_ptr<FdmInnerValueCalculator> calc1_;
const boost::shared_ptr<FdmInnerValueCalculator> calc2_;
};
}
#endif
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