QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | List of all members
ExerciseStrategy< State > Class Template Referenceabstract

#include <exercisestrategy.hpp>

+ Inheritance diagram for ExerciseStrategy< State >:
+ Collaboration diagram for ExerciseStrategy< State >:

Public Member Functions

virtual ~ExerciseStrategy ()=default
 
virtual std::vector< TimeexerciseTimes () const =0
 
virtual std::vector< TimerelevantTimes () const =0
 
virtual void reset ()=0
 
virtual bool exercise (const State &currentState) const =0
 
virtual void nextStep (const State &currentState)=0
 
virtual std::unique_ptr< ExerciseStrategy< State > > clone () const =0
 

Detailed Description

template<class State>
class QuantLib::ExerciseStrategy< State >

Definition at line 31 of file exercisestrategy.hpp.

Constructor & Destructor Documentation

◆ ~ExerciseStrategy()

virtual ~ExerciseStrategy ( )
virtualdefault

Member Function Documentation

◆ exerciseTimes()

virtual std::vector< Time > exerciseTimes ( ) const
pure virtual

Implemented in LongstaffSchwartzExerciseStrategy, ParametricExerciseAdapter, and SwapRateTrigger.

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◆ relevantTimes()

virtual std::vector< Time > relevantTimes ( ) const
pure virtual

Implemented in LongstaffSchwartzExerciseStrategy, ParametricExerciseAdapter, and SwapRateTrigger.

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◆ reset()

virtual void reset ( )
pure virtual

◆ exercise()

virtual bool exercise ( const State &  currentState) const
pure virtual

Implemented in LongstaffSchwartzExerciseStrategy, ParametricExerciseAdapter, and SwapRateTrigger.

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◆ nextStep()

virtual void nextStep ( const State &  currentState)
pure virtual

◆ clone()

virtual std::unique_ptr< ExerciseStrategy< State > > clone ( ) const
pure virtual