QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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exercisestrategy.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
21#ifndef quantlib_exercise_strategy_hpp
22#define quantlib_exercise_strategy_hpp
23
24#include <ql/types.hpp>
25#include <vector>
26#include <memory>
27
28namespace QuantLib {
29
30 template <class State>
32 public:
33 virtual ~ExerciseStrategy() = default;
34 virtual std::vector<Time> exerciseTimes() const = 0;
35 virtual std::vector<Time> relevantTimes() const = 0;
36 virtual void reset() = 0;
37 virtual bool exercise(const State& currentState) const = 0;
38 virtual void nextStep(const State& currentState) = 0;
39 virtual std::unique_ptr<ExerciseStrategy<State> > clone() const = 0;
40 };
41
42}
43
44
45#endif
virtual void nextStep(const State &currentState)=0
virtual void reset()=0
virtual ~ExerciseStrategy()=default
virtual std::vector< Time > exerciseTimes() const =0
virtual bool exercise(const State &currentState) const =0
virtual std::vector< Time > relevantTimes() const =0
virtual std::unique_ptr< ExerciseStrategy< State > > clone() const =0
Definition: any.hpp:35
Custom types.