

/*
 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 ferdinando@ametrano.net
 The license is also available online at http://quantlib.org/html/license.html

 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.
*/
/*! \file dividendoption.hpp
    \brief base class for option with dividends

    \fullpath
    ql/Pricers/%dividendoption.hpp
*/

// $Id: fddividendoption.hpp,v 1.3.26.1 2002/12/31 18:40:41 nando Exp $

#ifndef quantlib_dividend_option_pricer_h
#define quantlib_dividend_option_pricer_h

#include <ql/Pricers/fdmultiperiodoption.hpp>

namespace QuantLib {

    namespace Pricers {

        class FdDividendOption : public FdMultiPeriodOption {
          public:
            // constructor
            FdDividendOption(Option::Type type, double underlying,
                double strike, Spread dividendYield, Rate riskFreeRate,
                Time residualTime, double volatility,
                const std::vector<double>& dividends = std::vector<double>(),
                const std::vector<Time>& exdivdates = std::vector<Time>(),
                int timeSteps = 100, int gridPoints = 100);
            double dividendRho() const {
                throw Error("FdDividendOption::dividendRho not implemented yet");
            }
            protected:
            void initializeControlVariate() const;
            private:
            std::vector<double> dividends_;

            void executeIntermediateStep(int step) const;

            void movePricesBeforeExDiv(Array& prices,
                                       const Array& newGrid,
                                       const Array& oldGrid) const;
            double addElements(const std::vector<double>& A) const{
                return std::accumulate(A.begin(), A.end(), 0.0);
            }
        };

    }

}


#endif
