/*
Copyright (C) 2007 Srinivas Hasti
Copyright (C) 2009 Richard Gomes
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) 2005 Joseph Wang
Copyright (C) 2007 StatPro Italia 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.pricingengines.vanilla.finitedifferences;
import java.util.ArrayList;
import java.util.List;
import org.jquantlib.QL;
import org.jquantlib.cashflow.Dividend;
import org.jquantlib.cashflow.Event;
import org.jquantlib.instruments.DividendVanillaOption;
import org.jquantlib.lang.reflect.ReflectConstants;
import org.jquantlib.pricingengines.PricingEngine.Arguments;
import org.jquantlib.processes.GeneralizedBlackScholesProcess;
import org.jquantlib.time.Date;
/**
* 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
*
* @author Srinivas Hasti
* @author Richard Gomes
*/
//TODO: The dividend class really needs to be made more sophisticated to distinguish between fixed dividends and fractional dividends
public abstract class FDDividendEngineBase extends FDMultiPeriodEngine {
//
// public methods
//
public FDDividendEngineBase(
final GeneralizedBlackScholesProcess process) {
this(process, 100, 100, false);
}
public FDDividendEngineBase(
final GeneralizedBlackScholesProcess process,
final int timeSteps) {
this(process, timeSteps, 100, false);
}
public FDDividendEngineBase(
final GeneralizedBlackScholesProcess process,
final int timeSteps,
final int gridPoints) {
this(process, timeSteps, gridPoints, false);
}
public FDDividendEngineBase(
final GeneralizedBlackScholesProcess process,
final int timeSteps,
final int gridPoints,
final boolean timeDependent) {
super(process, timeSteps, gridPoints, timeDependent);
}
//
// protected methods
//
@Override
protected void setupArguments(final Arguments args) /* @ReadOnly */ {
QL.require(DividendVanillaOption.ArgumentsImpl.class.isAssignableFrom(args.getClass()), ReflectConstants.WRONG_ARGUMENT_TYPE); // QA:[RG]::verified
final DividendVanillaOption.ArgumentsImpl arguments = (DividendVanillaOption.ArgumentsImpl)args;
final List<Event> events = new ArrayList<Event>(arguments.cashFlow.size());
for (final Dividend cashFlow : arguments.cashFlow) {
events.add(cashFlow);
}
super.setupArguments(args, events);
}
protected double getDividendAmount(final int i) /* @ReadOnly */ {
final Dividend dividend = (Dividend)(events.get(i));
if (dividend!=null) {
return dividend.amount();
} else {
return 0.0;
}
}
protected double getDiscountedDividend(final int i) /* @ReadOnly */ {
final double dividend = getDividendAmount(i);
final Date date = events.get(i).date();
final double discount = process.riskFreeRate().currentLink().discount(date)
/ process.dividendYield().currentLink().discount(date);
return dividend * discount;
}
//
// protected abstract methods
//
@Override
protected abstract void setGridLimits() /* @ReadOnly */ ;
@Override
protected abstract void executeIntermediateStep(int step) /* @ReadOnly */ ;
}