
/*
 * Copyright (C) 2000-2001 QuantLib Group
 *
 * This file is part of QuantLib.
 * QuantLib is a C++ open source library for financial quantitative
 * analysts and developers --- http://quantlib.sourceforge.net/
 *
 * QuantLib is free software and you are allowed to use, copy, modify, merge,
 * publish, distribute, and/or sell copies of it under the conditions stated
 * in the QuantLib License.
 *
 * 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.
 *
 * You should have received a copy of the license along with this file;
 * if not, contact ferdinando@ametrano.net
 * The license is also available at http://quantlib.sourceforge.net/LICENSE.TXT
 *
 * The members of the QuantLib Group are listed in the Authors.txt file, also
 * available at http://quantlib.sourceforge.net/Authors.txt
*/

/*! \file americanoption.hpp
    \brief american option

    $Source: /cvsroot/quantlib/QuantLib/Include/ql/Pricers/americanoption.hpp,v $
    $Log: americanoption.hpp,v $
    Revision 1.1  2001/04/09 14:05:48  nando
    all the *.hpp moved below the Include/ql level

    Revision 1.3  2001/04/06 18:46:20  nando
    changed Authors, Contributors, Licence and copyright header

    Revision 1.2  2001/04/04 12:13:23  nando
    Headers policy part 2:
    The Include directory is added to the compiler's include search path.
    Then both your code and user code specifies the sub-directory in
    #include directives, as in
    #include <Solvers1d/newton.hpp>

    Revision 1.1  2001/04/04 11:07:23  nando
    Headers policy part 1:
    Headers should have a .hpp (lowercase) filename extension
    All *.h renamed to *.hpp

    Revision 1.3  2001/03/05 11:42:25  lballabio
    Inlined methods that were supposed to be

    Revision 1.2  2001/03/02 13:49:42  marmar
    Purely virtual method initializeStepCondition()
    introduced in the design of StepConditionOption

    Revision 1.1  2001/03/02 08:36:44  enri
    Shout options added:
    	* BSMAmericanOption is now AmericanOption, same interface
    	* ShoutOption added
    	* both ShoutOption and AmericanOption inherit from
    	  StepConditionOption
    offline.doxy.linux added.


*/

#ifndef quantlib_pricers_american_option_h
#define quantlib_pricers_american_option_h

#include "ql/qldefines.hpp"
#include "ql/Pricers/stepconditionoption.hpp"
#include "ql/FiniteDifferences/standardstepcondition.hpp"
#include "ql/Pricers/americancondition.hpp"

namespace QuantLib {

    namespace Pricers {

        class AmericanOption : public StepConditionOption {
        public:
            // constructor
            AmericanOption(Type type, double underlying, double strike,
                           Rate dividendYield, Rate riskFreeRate,
                           Time residualTime, double volatility,
                           int timeSteps, int gridPoints);
                void initializeStepCondition() const;

            // This method must be implemented to imply volatilities
            Handle<BSMOption> clone() const{
                return Handle<BSMOption>(new AmericanOption(*this));
            }
        };

        inline AmericanOption::AmericanOption(Type type, double underlying,
            double strike, Rate dividendYield, Rate riskFreeRate,
            Time residualTime, double volatility, int timeSteps,
            int gridPoints)
        : StepConditionOption(type, underlying, strike, dividendYield,
            riskFreeRate, residualTime, volatility, timeSteps,
            gridPoints) {}

        inline void AmericanOption::initializeStepCondition() const {
            stepCondition_ = Handle<FiniteDifferences::StandardStepCondition>(
                new AmericanCondition(initialPrices_));
        }
    }
}

#endif

