/*
Copyright (C) 2008 Srinivas Hasti
This source code is release under the BSD License.
This file is part of JQuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://jquantlib.org/
JQuantLib is free software: you can redistribute it and/or modify it
under the terms of the JQuantLib license. You should have received a
copy of the license along with this program; if not, please email
<jquant-devel@lists.sourceforge.net>. The license is also available online at
<http://www.jquantlib.org/index.php/LICENSE.TXT>.
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.
JQuantLib is based on QuantLib. http://quantlib.org/
When applicable, the original copyright notice follows this notice.
*/
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
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.
*/
package org.jquantlib.methods.finitedifferences;
import org.jquantlib.instruments.Option;
import org.jquantlib.instruments.Payoff;
import org.jquantlib.instruments.PlainVanillaPayoff;
import org.jquantlib.lang.exceptions.LibraryException;
import org.jquantlib.math.matrixutilities.Array;
/**
* Abstract base class which allows step conditions to use both payoff and array functions
*
* @author Richard Gomes
*/
//TODO: code review :: license, class comments, comments for access modifiers, put "final" everywhere
public class CurveDependentStepCondition implements StepCondition<Array> {
public static interface CurveWrapper {
double getValue(Array a, int i);
}
private final CurveWrapper curveItem;
public CurveDependentStepCondition(final Option.Type type, final double strike) {
curveItem = new PayoffWrapper(type, strike);
}
public CurveDependentStepCondition(final Payoff p) {
curveItem = new PayoffWrapper(p);
}
public CurveDependentStepCondition(final Array a) {
curveItem = new ArrayWrapper(a);
}
protected double applyToValue(final double a, final double b) {
throw new LibraryException("not yet implemented"); // QA:[RG]::verified // TODO: message
}
@Override
public void applyTo(final Array a, final double t) {
for (int i = 0; i < a.size(); i++) {
a.set(i, applyToValue(a.get(i), getValue(a, i)));
}
}
protected double getValue(final Array a, final int index) {
return curveItem.getValue(a, index);
}
static class ArrayWrapper implements CurveWrapper {
private final Array values;
public ArrayWrapper(final Array values) {
this.values = values;
}
public double getValue(final Array a, final int i) {
return values.get(i);
}
};
static class PayoffWrapper implements CurveWrapper {
private final Payoff payoff;
public PayoffWrapper(final Payoff p) {
this.payoff = p;
}
public PayoffWrapper(final Option.Type type, final double strike) {
payoff = new PlainVanillaPayoff(type, strike);
}
public double getValue(final Array a, final int i) {
return payoff.get(a.get(i));
}
};
}