FdmPricer.hpp

#ifndef MARIAN_FDMPRIZER_H
#define MARIAN_FDMPRIZER_H

#include <FDM/schemes/fdScheme.hpp>
#include <FDM/gridBuilders/gridBuilder.hpp>
#include <financial/options/option.hpp>
#include <financial/market.hpp>
#include <financial/gridRange/rangeSetup.hpp>

namespace marian {

  class FDMPricer {
  public:
    FDMPricer(SmartPointer<FDScheme> scheme,
          SmartPointer<TridiagonalSolver> solver,
          SmartPointer<GridBuilder> sgrid,
          SmartPointer<GridBuilder> tgrid,
          SmartPointer<RangeSetup> range_setter):
      scheme_(scheme), sgrid_(sgrid), tgrid_(tgrid), range_setter_(range_setter) {
      scheme_->setSolver(solver);
    }


    double price(Market m, SmartPointer<Option> o, int Ns = 100, int Nt = 200);
    void solveAndSave(Market market, SmartPointer<Option> option, std::string file, int Ns = 100, int Nt = 200);
  private:
    SmartPointer<FDScheme> scheme_; 
    SmartPointer<GridBuilder> sgrid_; 
    SmartPointer<GridBuilder> tgrid_; 
    SmartPointer<RangeSetup> range_setter_;  
  };

}  // namespace marian
#endif /* MARIAN_FDMPRIZER_H */