QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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swapforwardbasissystem.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2009 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_swap_forward_basis_system_hpp
22#define quantlib_swap_forward_basis_system_hpp
23
26
27namespace QuantLib {
28
30 {
31 public:
32 SwapForwardBasisSystem(const std::vector<Time>& rateTimes,
33 const std::vector<Time>& exerciseTimes);
34
35 Size numberOfExercises() const override;
36 std::vector<Size> numberOfFunctions() const override;
37 const EvolutionDescription& evolution() const override;
38 void nextStep(const CurveState&) override;
39 void reset() override;
40 std::valarray<bool> isExerciseTime() const override;
41
42 void values(const CurveState&, std::vector<Real>& results) const override;
43
44 std::unique_ptr<MarketModelBasisSystem> clone() const override;
45 private:
46 std::vector<Time> rateTimes_, exerciseTimes_;
48 std::vector<Size> rateIndex_;
50 };
51
52}
53
54
55#endif
Curve state for market-model simulations
Definition: curvestate.hpp:41
Market-model evolution description.
void values(const CurveState &, std::vector< Real > &results) const override
void nextStep(const CurveState &) override
std::vector< Size > numberOfFunctions() const override
std::valarray< bool > isExerciseTime() const override
const EvolutionDescription & evolution() const override
std::unique_ptr< MarketModelBasisSystem > clone() const override
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35