amccalculator.hpp

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/*
 Copyright (C) 2017 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 amccalculator.hpp
    \brief interface for amc calculator
*/
 
#pragma once
 
#include <qle/math/randomvariable.hpp>
#include <qle/processes/crossassetstateprocess.hpp>
 
#include <ql/currency.hpp>
#include <ql/math/array.hpp>
#include <ql/methods/montecarlo/multipath.hpp>
 
namespace QuantExt {
 
/*! amc interface */
class AmcCalculator {
public:
    virtual ~AmcCalculator() {}
 
    /*! currency of simulated npvs */
    virtual QuantLib::Currency npvCurrency() = 0;
 
    /*! - simulate paths on given times and return simulated npvs for all paths
        - relevantPathIndex gives the relevant entries in the paths that should be simulated in the end
        - relevantTimeIndex gives the corrosponding time indexes for a sticky closeOut run
        - if stickyCloseOutRun is true, the simulation times should be taken relevantTimeIndexes
     */
    virtual std::vector<QuantExt::RandomVariable>
    simulatePath(const std::vector<QuantLib::Real>& pathTimes,
                 std::vector<std::vector<QuantExt::RandomVariable>>& paths, 
                 const std::vector<size_t>& relevantPathIndex,
                 const std::vector<size_t>& relevantTimeIndex) = 0;
};
 
} // namespace QuantExt