amcmodel.hpp

Go to the documentation of this file.

/*
 Copyright (C) 2020 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file ored/scripting/models/amcmodel.hpp
    \brief additional interface for amc enabled models
    \ingroup utilities
*/
 
#pragma once
 
#include <qle/math/randomvariable.hpp>
 
namespace ore {
namespace data {
 
class AmcModel {
public:
    virtual ~AmcModel() {}
    virtual void injectPaths(const std::vector<QuantLib::Real>* pathTimes,
                             const std::vector<std::vector<QuantExt::RandomVariable>>* variates,
                             const std::vector<size_t>* pathIndexes, const std::vector<size_t>* timeIndexes) = 0;
};
 
} // namespace data
} // namespace ore