FdmAddPayoffCondition::
FdmAddPayoffCondition(const boost::shared_ptr<FdmExprInnerValue>& payoffGrid,
const std::vector<boost::shared_ptr<Domain>>& domain,
Time t)
: domain_(domain), t_(t)
{
const boost::shared_ptr<Mesher>& mesher = payoffGrid->mesher();
const boost::shared_ptr<FdmLinearOpLayout> layout = mesher->layout();
const FdmLinearOpIterator endIter = layout->end();
Array x(mesher_->layout()->dim().size());
for (FdmLinearOpIterator iter = layout->begin(); iter != endIter; ++iter)
{
for (Size i=0 ; i < x.size(); ++i)
{
x[i] = mesher_->location(iter, i);
}
if(domain[j](x))
{
locationIndexes_.push_back(iter.index());
payoffValues_.push_back(innerValue(iter));
}
}
}
Real FdmLogInnerValue::avgInnerValueCalc(const FdmLinearOpIterator& iter) {
const Size dim = mesher_->layout()->dim()[direction_];
const Size coord = iter.coordinates()[direction_];
const Real loc = mesher_->location(iter,direction_);
Real a = loc;
Real b = loc;
if (coord > 0) {
a -= mesher_->dminus(iter, direction_)/2.0;
}
if (coord < dim-1) {
b += mesher_->dplus(iter, direction_)/2.0;
}
boost::function1<Real, Real> f = compose(
std::bind1st(std::mem_fun(&Payoff::operator()), payoff_.get()),
std::ptr_fun<Real,Real>(std::exp));
Real retVal;
try {
const Real acc
= ((f(a) != 0.0 || f(b) != 0.0) ? (f(a)+f(b))*5e-5 : 1e-4);
retVal = SimpsonIntegral(acc, 8)(f, a, b)/(b-a);
}
catch (Error&) {
// use default value
retVal = innerValue(iter);
}
return retVal;
}
Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) {
return innerValue(iter, t);
}
