/*
Copyright (C) 2007 Srinivas Hasti
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 QuantLib 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.
*/
package org.jquantlib.pricingengines.vanilla.finitedifferences;
import org.jquantlib.methods.finitedifferences.ShoutCondition;
import org.jquantlib.processes.GeneralizedBlackScholesProcess;
import org.jquantlib.termstructures.Compounding;
import org.jquantlib.termstructures.InterestRate;
import org.jquantlib.time.Frequency;
/**
* This class conditionally extends other classes
* <p>
* <pre>
* FDDividendEngine------------|
* FDDividendEngineMerton73----|
* FDDividenEngineShiftScale---|
* FDStepConditionEngine-------|o---FDShoutCondition
* </pre>
*
* @see <a href="http://bugs.jquantlib.org/view.php?id=425">issue 425</a>
*
* @author Srinivas Hasti
* @author Richard Gomes
*/
//TODO: http://bugs.jquantlib.org/view.php?id=425
public class FDShoutCondition
<T /* TODO: should be:: T extends FDDividendEngineBase & FDStepConditionEngine */ >
extends FDStepConditionEngine /* TODO: should be:: implements FDDividendEngineBase, FDStepConditionEngine */ {
public FDShoutCondition(final GeneralizedBlackScholesProcess process) {
this(process, 100, 100);
}
public FDShoutCondition(
final GeneralizedBlackScholesProcess process,
final int timeSteps,
final int gridPoints) {
this(process, timeSteps, gridPoints, false);
}
public FDShoutCondition(
final GeneralizedBlackScholesProcess process,
final int timeSteps,
final int gridPoints,
final boolean value) {
super(process, timeSteps, gridPoints, value);
}
/*
* (non-Javadoc)
*
* @see
* org.jquantlib.pricingengines.vanilla.finitedifferences.FDStepConditionEngine
* #initializeStepCondition()
*/
@Override
protected void initializeStepCondition() {
final double residualTime = getResidualTime();
final InterestRate riskFreeRate = process.riskFreeRate().currentLink().zeroRate(
residualTime, Compounding.Continuous, Frequency.Annual, false);
stepCondition = new ShoutCondition(intrinsicValues.values(), residualTime, riskFreeRate.rate());
}
}