latticerules.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 
 Copyright (C) 2007 Mark Joshi
 
 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
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 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 latticerules.hpp
  Cools, Kuo, Nuyens (SIAM J. Sci. Comp., 2006)
*/
 
#ifndef quantlib_lattice_rules_hpp
#define quantlib_lattice_rules_hpp
 
 
#include <ql/types.hpp>
#include <vector>
 
namespace QuantLib
{
 
class LatticeRule
{
public:
 
    enum type {A, B , C , D};
 
    static void getRule(type name, std::vector<Real>& Z, Integer N);
 
 
};
}
 
#endif