Merge 7329633 into fb3143f

ql/methods/finitedifferences/americancondition.hpp

@@ -32,19 +32,62 @@
 namespace QuantLib {
 
     //! American exercise condition.
-    /*! \todo unify the intrinsicValues/Payoff thing */
     class AmericanCondition :
-        public StandardCurveDependentStepCondition {
-    public:
+        public StandardStepCondition {
+      public:
+        AmericanCondition(const Array& intrinsicValues)
+        : impl_(new ArrayImpl(intrinsicValues)) {};
+        /*! \deprecated Use the other constructor.
+                        Deprecated in version 1.19.
+        */
+        QL_DEPRECATED
         AmericanCondition(Option::Type type,
                           Real strike)
-            : StandardCurveDependentStepCondition(type, strike) {};
-        AmericanCondition(const Array& intrinsicValues)
-            : StandardCurveDependentStepCondition(intrinsicValues) {};
-    private:
-        Real applyToValue(Real current, Real intrinsic) const {
-            return std::max(current, intrinsic);
+        : impl_(new PayoffImpl(type, strike)) {};
+        void applyTo(Array &a, Time) const {
+            //#pragma omp parallel for
+            for (Size i = 0; i < a.size(); i++) {
+                a[i] = std::max(a[i], impl_->getValue(a, i));
+            }
         }
+      private:
+        // This part should be removed and the array-based implementation
+        // inlined once the payoff-based constructor is removed.
+
+        class Impl;
+
+        ext::shared_ptr<Impl> impl_;
+
+        class Impl {
+          public:
+            virtual ~Impl() {}
+            virtual Real getValue(const Array &a,
+                                  int i) = 0;
+        };
+
+        class ArrayImpl : public Impl {
+          private:
+            Array intrinsicValues_;
+          public:
+            ArrayImpl (const Array &a)
+            : intrinsicValues_(a) {}
+
+            Real getValue(const Array&, int i) {
+                return intrinsicValues_[i];
+            }
+        };
+
+        class PayoffImpl : public Impl {
+          private:
+            ext::shared_ptr<const Payoff> payoff_;
+          public:
+            PayoffImpl (Option::Type type, Real strike)
+            : payoff_(new PlainVanillaPayoff(type, strike)) {};
+            Real getValue(const Array &a,
+                          int i) {
+                return (*payoff_)(std::exp(a[i]));
+            }
+        };
     };
 }
 

ql/methods/finitedifferences/fdtypedefs.hpp

@@ -41,8 +41,36 @@ namespace QuantLib {
 
     //! default choice for step condition
     typedef StepCondition<Array> StandardStepCondition;
+
+#if defined(__GNUC__)
+#pragma GCC diagnostic push
+#pragma GCC diagnostic ignored "-Wdeprecated-declarations"
+#endif
+#if defined(__clang__)
+#pragma clang diagnostic push
+#pragma clang diagnostic ignored "-Wdeprecated-declarations"
+#endif
+#if defined(QL_PATCH_MSVC)
+#pragma warning(push)
+#pragma warning(disable:4996)
+#endif
+
+    /*! \deprecated Inherit from StandardStepCondition directly.
+                    Deprecated in version 1.19.
+    */
+    QL_DEPRECATED
     typedef CurveDependentStepCondition<Array> StandardCurveDependentStepCondition;
 
+#if defined(QL_PATCH_MSVC)
+#pragma warning(pop)
+#endif
+#if defined(__clang__)
+#pragma clang diagnostic pop
+#endif
+#if defined(__GNUC__)
+#pragma GCC diagnostic pop
+#endif
+
 }
 
 

ql/methods/finitedifferences/shoutcondition.hpp

@@ -37,42 +37,77 @@ namespace QuantLib {
         during the option's life. The minimum value is the option's
         intrinsic value at the shout time.
     */
-    class ShoutCondition : public StandardCurveDependentStepCondition {
+    class ShoutCondition : public StandardStepCondition {
       public:
+        ShoutCondition(const Array& intrinsicValues,
+                       Time resTime,
+                       Rate rate)
+        : resTime_(resTime), rate_(rate),
+          impl_(new ArrayImpl(intrinsicValues)) {}
+
+        /*! \deprecated Use the other constructor.
+                        Deprecated in version 1.19.
+        */
+        QL_DEPRECATED
         ShoutCondition(Option::Type type,
                        Real strike,
                        Time resTime,
-                       Rate rate);
-        ShoutCondition(const Array& intrinsicValues,
-                       Time resTime,
-                       Rate rate);
+                       Rate rate)
+        : resTime_(resTime), rate_(rate),
+          impl_(new PayoffImpl(type, strike)) {}
+
         void applyTo(Array& a,
-                     Time t) const;
-      private:
-        virtual Real applyToValue(Real current,
-                                  Real intrinsic) const {
-            return std::max(current, disc_ * intrinsic );
+                     Time t) const {
+            DiscountFactor B = std::exp(-rate_ * (t - resTime_));
+            //#pragma omp parallel for
+            for (Size i = 0; i < a.size(); i++) {
+                a[i] = std::max(a[i], B * impl_->getValue(a, i));
+            }
         }
+
+      private:
         Time resTime_;
         Rate rate_;
-        mutable DiscountFactor disc_;
+
+        // This part should be removed and the array-based implementation
+        // inlined once the payoff-based constructor is removed.
+
+        class Impl;
+
+        ext::shared_ptr<Impl> impl_;
+
+        class Impl {
+          public:
+            virtual ~Impl() {}
+            virtual Real getValue(const Array &a,
+                                  int i) = 0;
+        };
+
+        class ArrayImpl : public Impl {
+          private:
+            Array intrinsicValues_;
+          public:
+            ArrayImpl (const Array &a)
+            : intrinsicValues_(a) {}
+
+            Real getValue(const Array&, int i) {
+                return intrinsicValues_[i];
+            }
+        };
+
+        class PayoffImpl : public Impl {
+          private:
+            ext::shared_ptr<const Payoff> payoff_;
+          public:
+            PayoffImpl (Option::Type type, Real strike)
+            : payoff_(new PlainVanillaPayoff(type, strike)) {};
+
+            Real getValue(const Array &a, int i) {
+                return (*payoff_)(std::exp(a[i]));
+            }
+        };
     };
 
-    inline ShoutCondition::ShoutCondition(Option::Type type,
-                                          Real strike, Time resTime,
-                                          Rate rate)
-    : StandardCurveDependentStepCondition(type, strike),
-      resTime_(resTime), rate_(rate) {}
-
-    inline ShoutCondition::ShoutCondition(const Array& intrinsicValues,
-                                          Time resTime, Rate rate)
-        : StandardCurveDependentStepCondition(intrinsicValues),
-          resTime_(resTime), rate_(rate) {}
-
-    inline void ShoutCondition::applyTo(Array& a, Time t) const {
-        disc_ = std::exp(-rate_ * (t - resTime_));
-        StandardCurveDependentStepCondition::applyTo(a, t);
-    }
 }
 
 

ql/methods/finitedifferences/stepcondition.hpp

@@ -38,10 +38,15 @@ namespace QuantLib {
         virtual void applyTo(array_type& a, Time t) const = 0;
     };
 
-    /* Abstract base class which allows step conditions to use both
-       payoff and array functions */
+    /*  */
+    /*! Abstract base class which allows step conditions to use both
+        payoff and array functions.
+
+        \deprecated Inherit from StepCondition directly instead.
+                    Deprecated in version 1.19.
+    */
     template <class array_type>
-    class CurveDependentStepCondition :
+    class QL_DEPRECATED CurveDependentStepCondition :
         public StepCondition<array_type> {
       public:
         void applyTo(Array &a, Time) const {
@@ -52,12 +57,23 @@ namespace QuantLib {
             }
         }
       protected:
+
+#if defined(QL_PATCH_MSVC)
+#pragma warning(push)
+#pragma warning(disable:4996)
+#endif
+
         CurveDependentStepCondition(Option::Type type, Real strike)
             : curveItem_(new PayoffWrapper(type, strike)) {};
         CurveDependentStepCondition(const Payoff *p)
             : curveItem_(new PayoffWrapper(p)) {};
         CurveDependentStepCondition(const array_type & a)
             : curveItem_(new ArrayWrapper(a)) {};
+
+#if defined(QL_PATCH_MSVC)
+#pragma warning(pop)
+#endif
+
         class CurveWrapper;
 
         ext::shared_ptr<CurveWrapper> curveItem_;