pathwiseproductcashrebate.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2009 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_cash_rebate_hpp
#define quantlib_market_model_pathwise_cash_rebate_hpp
 
#include <ql/types.hpp>
#include <ql/models/marketmodels/pathwisemultiproduct.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
#include <ql/models/marketmodels/curvestates/lmmcurvestate.hpp>
#include <ql/math/matrix.hpp>
#include <vector>
#include <memory>
 
namespace QuantLib {
 
    class EvolutionDescription;
    class CurveState;
 
    /*!
    Swap for doing simple cash rebate. Fairly useless when used directly, but if we want to look a breakable swap
    it becomes useful.
 
    */
    class MarketModelPathwiseCashRebate : public MarketModelPathwiseMultiProduct
 
     {
      public:
        MarketModelPathwiseCashRebate(EvolutionDescription evolution,
                                      const std::vector<Time>& paymentTimes,
                                      Matrix amounts,
                                      Size numberOfProducts);
 
        std::vector<Size> suggestedNumeraires() const override;
        const EvolutionDescription& evolution() const override;
        std::vector<Time> possibleCashFlowTimes() const override;
        Size numberOfProducts() const override;
        Size maxNumberOfCashFlowsPerProductPerStep() const override;
        void reset() override;
 
 
        bool alreadyDeflated() const override;
 
        bool nextTimeStep(const CurveState& currentState,
                          std::vector<Size>& numberCashFlowsThisStep,
                          std::vector<std::vector<MarketModelPathwiseMultiProduct::CashFlow> >&
                              cashFlowsGenerated) override;
 
        std::unique_ptr<MarketModelPathwiseMultiProduct> clone() const override;
 
      private:
        EvolutionDescription evolution_;
        std::vector<Time> paymentTimes_;
        Matrix amounts_;
        Size numberOfProducts_;
        // things that vary in a path
        Size currentIndex_;
    };
}
 
#endif