Merge pull request #1353.

Deprecate a few unused parts of the old FD framework

ql/methods/finitedifferences/pdeshortrate.hpp

@@ -31,7 +31,10 @@
 
 namespace QuantLib {
 
-    class PdeShortRate : public PdeSecondOrderParabolic {
+    /*! \deprecated Use the new finite-differences framework instead.
+                    Deprecated in version 1.27.
+    */
+    class QL_DEPRECATED PdeShortRate : public PdeSecondOrderParabolic {
       public:
         typedef ext::shared_ptr<OneFactorModel::ShortRateDynamics>
                                                                 argument_type;

ql/methods/finitedifferences/shoutcondition.hpp

@@ -33,12 +33,10 @@
 namespace QuantLib {
 
     //! Shout option condition
-    /*! A shout option is an option where the holder has the right to
-        lock in a minimum value for the payoff at one (shout) time
-        during the option's life. The minimum value is the option's
-        intrinsic value at the shout time.
+    /*! \deprecated Use the new finite-differences framework instead.
+                    Deprecated in version 1.27.
     */
-    class ShoutCondition : public StandardStepCondition {
+    class QL_DEPRECATED ShoutCondition : public StandardStepCondition {
       public:
         ShoutCondition(const Array& intrinsicValues,
                        Time resTime,

ql/pricingengines/vanilla/fdconditions.hpp

@@ -31,8 +31,13 @@
 
 namespace QuantLib {
 
+    QL_DEPRECATED_DISABLE_WARNING
+
+    /*! \deprecated Use the new finite-differences framework instead.
+                    Deprecated in version 1.27.
+    */
     template <typename baseEngine>
-    class FDShoutCondition : public baseEngine {
+    class QL_DEPRECATED FDShoutCondition : public baseEngine {
       public:
         FDShoutCondition(
              const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
@@ -53,6 +58,8 @@ namespace QuantLib {
         }
     };
 
+    QL_DEPRECATED_ENABLE_WARNING
+
 }
 
 

ql/pricingengines/vanilla/fddividendengine.hpp

@@ -30,13 +30,11 @@
 
 namespace QuantLib {
 
-    //! Abstract base class for dividend engines
-    /*! \todo The dividend class really needs to be made more
-              sophisticated to distinguish between fixed dividends and
-              fractional dividends
+    /*! \deprecated Use the new finite-differences framework instead.
+                    Deprecated in version 1.27.
     */
     template <template <class> class Scheme = CrankNicolson>
-    class FDDividendEngineBase : public FDMultiPeriodEngine<Scheme> {
+    class QL_DEPRECATED FDDividendEngineBase : public FDMultiPeriodEngine<Scheme> {
       public:
         FDDividendEngineBase(
              const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
@@ -68,20 +66,13 @@ namespace QuantLib {
         }
     };
 
-    /*! \brief Finite-differences pricing engine for dividend options
-               using escowed dividends model
+    QL_DEPRECATED_DISABLE_WARNING
 
-        The Merton-73 engine is the classic engine described in most
-        derivatives texts.  However, Haug, Haug, and Lewis in "Back to
-        Basics: a new approach to the discrete dividend problem"
-        argues that this scheme underprices call options.  This is set
-        as the default engine, because it is consistent with the
-        analytic version.
-
-        \ingroup vanillaengines
+    /*! \deprecated Use the new finite-differences framework instead.
+                    Deprecated in version 1.27.
     */
     template <template <class> class Scheme = CrankNicolson>
-    class FDDividendEngineMerton73 : public FDDividendEngineBase<Scheme> {
+    class QL_DEPRECATED FDDividendEngineMerton73 : public FDDividendEngineBase<Scheme> {
       public:
         FDDividendEngineMerton73(
              const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
@@ -95,17 +86,11 @@ namespace QuantLib {
         void executeIntermediateStep(Size step) const;
     };
 
-    //! Finite-differences engine for dividend options using shifted dividends
-    /*! This engine uses the same algorithm that was used in versions
-        0.3.11 and earlier.  It produces results that are different
-        from the Merton-73 engine.
-
-       \todo Review literature to see whether this is described
-
-       \ingroup vanillaengines
+    /*! \deprecated Use the new finite-differences framework instead.
+                    Deprecated in version 1.27.
     */
     template <template <class> class Scheme = CrankNicolson>
-    class FDDividendEngineShiftScale : public FDDividendEngineBase<Scheme> {
+    class QL_DEPRECATED FDDividendEngineShiftScale : public FDDividendEngineBase<Scheme> {
       public:
         FDDividendEngineShiftScale(
              const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
@@ -120,9 +105,11 @@ namespace QuantLib {
     };
 
 
-    // Use Merton73 engine as default.
+    /*! \deprecated Use the new finite-differences framework instead.
+                    Deprecated in version 1.27.
+    */
     template <template <class> class Scheme = CrankNicolson>
-    class FDDividendEngine : public FDDividendEngineMerton73<Scheme> {
+    class QL_DEPRECATED FDDividendEngine : public FDDividendEngineMerton73<Scheme> {
       public:
         FDDividendEngine(
              const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
@@ -193,7 +180,7 @@ namespace QuantLib {
 
     namespace detail {
 
-        class DividendAdder {
+        class QL_DEPRECATED DividendAdder {
           private:
             const Dividend *dividend;
           public:
@@ -244,6 +231,8 @@ namespace QuantLib {
                                         this->getDividendTime(step));
     }
 
+    QL_DEPRECATED_ENABLE_WARNING
+
 }
 
 

ql/pricingengines/vanilla/fdstepconditionengine.hpp

@@ -33,10 +33,11 @@
 
 namespace QuantLib {
 
-    //! Finite-differences pricing engine for American-style vanilla options
-    /*! \ingroup vanillaengines */
+    /*! \deprecated Use the new finite-differences framework instead.
+                    Deprecated in version 1.27.
+    */
     template <template <class> class Scheme = CrankNicolson>
-    class FDStepConditionEngine :  public FDVanillaEngine {
+    class QL_DEPRECATED FDStepConditionEngine :  public FDVanillaEngine {
       public:
         FDStepConditionEngine(
              const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
@@ -57,6 +58,8 @@ namespace QuantLib {
 
     // template definitions
 
+    QL_DEPRECATED_DISABLE_WARNING
+
     template <template <class> class Scheme>
     void FDStepConditionEngine<Scheme>::calculate(
                                             PricingEngine::results* r) const {
@@ -132,6 +135,8 @@ namespace QuantLib {
         results->additionalResults["priceCurve"] = prices_;
     }
 
+    QL_DEPRECATED_ENABLE_WARNING
+
 }
 
 

ql/pricingengines/vanilla/fdvanillaengine.hpp

@@ -84,8 +84,11 @@ namespace QuantLib {
         static const Real safetyZoneFactor_;
     };
 
+    /*! \deprecated Use the new finite-differences framework instead.
+                    Deprecated in version 1.27.
+    */
     template <typename base, typename engine>
-    class FDEngineAdapter : public base, public engine {
+    class QL_DEPRECATED FDEngineAdapter : public base, public engine {
       public:
         FDEngineAdapter(
              const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,