QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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nothingexercisevalue.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#ifndef quantlib_nothing_exercise_value_hpp
21#define quantlib_nothing_exercise_value_hpp
22
25
26namespace QuantLib {
27
29 public:
30 //! \todo use Payoff
31 NothingExerciseValue(const std::vector<Time>& rateTimes,
32 std::valarray<bool> isExerciseTime = std::valarray<bool>());
33 Size numberOfExercises() const override;
34 // including any time at which state should be updated
35 const EvolutionDescription& evolution() const override;
36 std::vector<Time> possibleCashFlowTimes() const override;
37 void nextStep(const CurveState&) override;
38 void reset() override;
39 // whether or not evolution times are exercise times
40 std::valarray<bool> isExerciseTime() const override;
42 std::unique_ptr<MarketModelExerciseValue> clone() const override;
43 private:
45 std::vector<Time> rateTimes_;
46 std::valarray<bool> isExerciseTime_;
48 // evolving
51 };
52
53}
54
55
56#endif
Curve state for market-model simulations
Definition: curvestate.hpp:41
Market-model evolution description.
MarketModelMultiProduct::CashFlow value(const CurveState &) const override
MarketModelMultiProduct::CashFlow cf_
Size numberOfExercises() const override
void nextStep(const CurveState &) override
std::valarray< bool > isExerciseTime() const override
std::unique_ptr< MarketModelExerciseValue > clone() const override
std::vector< Time > possibleCashFlowTimes() const override
const EvolutionDescription & evolution() const override
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35