

/*
 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 stepconditionoption.hpp
    \brief Option requiring additional code to be executed at each time step

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

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

#ifndef quantlib_pricers_stepconditionoption_h
#define quantlib_pricers_stepconditionoption_h

#include <ql/Pricers/fdbsmoption.hpp>
#include <ql/FiniteDifferences/fdtypedefs.hpp>

namespace QuantLib {

    namespace Pricers {

        //! %option executing additional code at each time step
        class FdStepConditionOption : public FdBsmOption {
          protected:
            // constructor
            FdStepConditionOption(Option::Type type, double underlying,
                                double strike,
                                Spread dividendYield, Rate riskFreeRate,
                                Time residualTime, double volatility,
                                int timeSteps, int gridPoints);
            void calculate() const;
            virtual void initializeStepCondition() const = 0;
            mutable Handle<FiniteDifferences::StandardStepCondition >
                                                            stepCondition_;
            int timeSteps_;
        };

    }

}


#endif
