/
fdmshoutloginnervaluecalculator.hpp
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/
fdmshoutloginnervaluecalculator.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2021 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 fdmshoutloginnervaluecalculator.hpp
\brief inner value for a shout option
*/
#ifndef quantlib_fdm_shout_log_inner_value_calculator_hpp
#define quantlib_fdm_shout_log_inner_value_calculator_hpp
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
namespace QuantLib {
class PlainVanillaPayoff;
class GeneralizedBlackScholesProcess;
class FdmShoutLogInnerValueCalculator: public FdmInnerValueCalculator {
public:
FdmShoutLogInnerValueCalculator(
const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
Time maturity,
const ext::shared_ptr<PlainVanillaPayoff>& payoff,
const ext::shared_ptr<FdmMesher>& mesher,
Size direction);
Real innerValue(const FdmLinearOpIterator& iter, Time t) override;
Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) override;
private:
const ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
const Time maturity_;
const ext::shared_ptr<PlainVanillaPayoff> payoff_;
const ext::shared_ptr<FdmMesher> mesher_;
const Size direction_;
};
}
#endif