pathwisemultiproduct.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
Copyright (C) 2006, 2008 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.
*/
 
 
#ifndef quantlib_market_model_pathwise_multi_product_hpp
#define quantlib_market_model_pathwise_multi_product_hpp
 
#include <ql/types.hpp>
#include <vector>
#include <memory>
 
namespace QuantLib {
 
    class EvolutionDescription;
    class CurveState;
 
 
    class MarketModelPathwiseMultiProduct 
    {
    public:
        struct CashFlow {
            Size timeIndex = 0;
            std::vector<Real > amount;
        };
        virtual ~MarketModelPathwiseMultiProduct() = default;
 
        virtual std::vector<Size> suggestedNumeraires() const = 0;
        virtual const EvolutionDescription& evolution() const = 0;
        virtual std::vector<Time> possibleCashFlowTimes() const = 0;
        virtual Size numberOfProducts() const = 0;
        virtual Size maxNumberOfCashFlowsPerProductPerStep() const = 0;
 
        virtual bool alreadyDeflated() const =0;
 
        virtual void reset() = 0;
        virtual bool nextTimeStep(
            const CurveState& currentState,
            std::vector<Size>& numberCashFlowsThisStep,
            std::vector<std::vector<MarketModelPathwiseMultiProduct::CashFlow> >& cashFlowsGenerated) = 0;
        virtual std::unique_ptr<MarketModelPathwiseMultiProduct> clone() const = 0;
    };
 
}
 
 
#endif