QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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exercisevalue.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006 Mark Joshi
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20
21#ifndef quantlib_market_model_exercise_value_hpp
22#define quantlib_market_model_exercise_value_hpp
23
24// to be removed using forward declaration
26#include <memory>
27#include <valarray>
28
29namespace QuantLib {
30
31 class CurveState;
32 class EvolutionDescription;
33 //struct MarketModelMultiProduct::CashFlow;
34
36 public:
37 virtual ~MarketModelExerciseValue() = default;
38 virtual Size numberOfExercises() const = 0;
39 // including any time at which state should be updated
40 virtual const EvolutionDescription& evolution() const = 0;
41 virtual std::vector<Time> possibleCashFlowTimes() const = 0;
42 virtual void nextStep(const CurveState&) = 0;
43 virtual void reset() = 0;
44 // whether or not evolution times are exercise times
45 virtual std::valarray<bool> isExerciseTime() const = 0;
47 virtual std::unique_ptr<MarketModelExerciseValue> clone() const = 0;
48 };
49
50}
51
52
53#endif
Curve state for market-model simulations
Definition: curvestate.hpp:41
Market-model evolution description.
virtual std::vector< Time > possibleCashFlowTimes() const =0
virtual std::unique_ptr< MarketModelExerciseValue > clone() const =0
virtual MarketModelMultiProduct::CashFlow value(const CurveState &) const =0
virtual std::valarray< bool > isExerciseTime() const =0
virtual Size numberOfExercises() const =0
virtual const EvolutionDescription & evolution() const =0
virtual ~MarketModelExerciseValue()=default
virtual void nextStep(const CurveState &)=0
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35