parametricexerciseadapter.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 StatPro Italia srl
 
 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_parametric_exercise_adapter_hpp
#define quantlib_market_model_parametric_exercise_adapter_hpp
 
#include <ql/methods/montecarlo/exercisestrategy.hpp>
#include <ql/utilities/clone.hpp>
#include <valarray>
 
namespace QuantLib {
 
    class CurveState;
    class MarketModelParametricExercise;
 
    class ParametricExerciseAdapter : public ExerciseStrategy<CurveState> {
      public:
        ParametricExerciseAdapter(const MarketModelParametricExercise& exercise,
                                  std::vector<std::vector<Real> > parameters);
        std::vector<Time> exerciseTimes() const override;
        std::vector<Time> relevantTimes() const override;
        void reset() override;
        void nextStep(const CurveState& currentState) override;
        bool exercise(const CurveState& currentState) const override;
        std::unique_ptr<ExerciseStrategy<CurveState> > clone() const override;
      private:
        Clone<MarketModelParametricExercise> exercise_;
        std::vector<std::vector<Real> > parameters_;
        std::vector<Time> exerciseTimes_;
        Size currentStep_ = 0, currentExercise_ = 0;
        std::valarray<bool> isExerciseTime_;
        std::vector<Size> numberOfVariables_;
        mutable std::vector<Real> variables_;
    };
 
}
 
 
#endif