triggeredswapexercise.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_triggered_swap_exercise_hpp
#define quantlib_triggered_swap_exercise_hpp
 
#include <ql/models/marketmodels/callability/marketmodelparametricexercise.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
 
namespace QuantLib {
 
    class TriggeredSwapExercise : public MarketModelParametricExercise {
      public:
        TriggeredSwapExercise(const std::vector<Time>& rateTimes,
                              const std::vector<Time>& exerciseTimes,
                              std::vector<Rate> strikes);
 
        // NodeDataProvider interface
        Size numberOfExercises() const override;
        const EvolutionDescription& evolution() const override;
        void nextStep(const CurveState&) override;
        void reset() override;
        std::valarray<bool> isExerciseTime() const override;
        void values(const CurveState&, std::vector<Real>& results) const override;
 
        // ParametricExercise interface
        std::vector<Size> numberOfVariables() const override;
        std::vector<Size> numberOfParameters() const override;
        bool exercise(Size exerciseNumber,
                      const std::vector<Real>& parameters,
                      const std::vector<Real>& variables) const override;
        void guess(Size exerciseNumber, std::vector<Real>& parameters) const override;
 
        std::unique_ptr<MarketModelParametricExercise> clone() const override;
 
      private:
        std::vector<Time> rateTimes_, exerciseTimes_;
        std::vector<Rate> strikes_;
        Size currentStep_ = 0;
        std::vector<Size> rateIndex_;
        EvolutionDescription evolution_;
    };
 
}
 
#endif