bermudanswaptionexercisevalue.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 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_bermudan_swaption_exercise_value_hpp
#define quantlib_bermudan_swaption_exercise_value_hpp
 
#include <ql/models/marketmodels/callability/exercisevalue.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
#include <ql/shared_ptr.hpp>
#include <valarray>
 
namespace QuantLib {
 
    class Payoff;
 
    class BermudanSwaptionExerciseValue : public MarketModelExerciseValue {
      public:
        BermudanSwaptionExerciseValue(const std::vector<Time>& rateTimes,
                                      std::vector<ext::shared_ptr<Payoff> >);
        Size numberOfExercises() const override;
        // including any time at which state should be updated
        const EvolutionDescription& evolution() const override;
        std::vector<Time> possibleCashFlowTimes() const override;
        void nextStep(const CurveState&) override;
        void reset() override;
        // whether or not evolution times are exercise times
        std::valarray<bool> isExerciseTime() const override;
        MarketModelMultiProduct::CashFlow value(const CurveState&) const override;
        std::unique_ptr<MarketModelExerciseValue> clone() const override;
      private:
        Size numberOfExercises_;
        std::vector<Time> rateTimes_;
        std::vector<ext::shared_ptr<Payoff> > payoffs_;
        EvolutionDescription evolution_;
        // evolving
        Size currentIndex_ = 0;
        MarketModelMultiProduct::CashFlow cf_;
    };
 
}
 
 
#endif