multipath.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005, 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.
*/
 
/*! \file multipath.hpp
    \brief Correlated multiple asset paths
*/
 
#ifndef quantlib_montecarlo_multi_path_hpp
#define quantlib_montecarlo_multi_path_hpp
 
#include <ql/methods/montecarlo/path.hpp>
#include <utility>
 
namespace QuantLib {
 
    //! Correlated multiple asset paths
    /*! MultiPath contains the list of paths for each asset, i.e.,
        multipath[j] is the path followed by the j-th asset.
 
        \ingroup mcarlo
    */
    class MultiPath {
      public:
        MultiPath() = default;
        MultiPath(Size nAsset,
                  const TimeGrid& timeGrid);
        MultiPath(std::vector<Path> multiPath);
        //! \name inspectors
        //@{
        Size assetNumber() const { return multiPath_.size(); }
        Size pathSize() const { return multiPath_[0].length(); }
        //@}
        //! \name read/write access to components
        //@{
        const Path& operator[](Size j) const { return multiPath_[j]; }
        const Path& at(Size j) const { return multiPath_.at(j); }
        Path& operator[](Size j) { return multiPath_[j]; }
        Path& at(Size j) { return multiPath_.at(j); }
        //@}
      private:
        std::vector<Path> multiPath_;
    };
 
 
    // inline definitions
 
    inline MultiPath::MultiPath(Size nAsset, const TimeGrid& timeGrid)
    : multiPath_(nAsset,Path(timeGrid)) {
        QL_REQUIRE(nAsset > 0, "number of asset must be positive");
    }
 
    inline MultiPath::MultiPath(std::vector<Path> multiPath) : multiPath_(std::move(multiPath)) {}
}
 
 
#endif