multisteptarn.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2010 Mark Joshi
 
 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_multistep_tarn_hpp
#define quantlib_multistep_tarn_hpp
 
#include <ql/models/marketmodels/products/multiproductmultistep.hpp>
 
namespace QuantLib {
 
    class MultiStepTarn : public MultiProductMultiStep {
      public:
        MultiStepTarn(const std::vector<Time>& rateTimes,
                      const std::vector<Real>& accruals,
                      const std::vector<Real>& accrualsFloating,
                      const std::vector<Time>& paymentTimes,
                      const std::vector<Time>& paymentTimesFloating,
                      Real totalCoupon,
                      const std::vector<Real>& strikes,
                      std::vector<Real> multipliers,
                      const std::vector<Real>& floatingSpreads);
        //! \name MarketModelMultiProduct interface
        //@{
        std::vector<Time> possibleCashFlowTimes() const override;
        Size numberOfProducts() const override;
        Size maxNumberOfCashFlowsPerProductPerStep() const override;
        void reset() override;
        bool nextTimeStep(const CurveState& currentState,
                          std::vector<Size>& numberCashFlowsThisStep,
                          std::vector<std::vector<CashFlow> >& cashFlowsGenerated) override;
        std::unique_ptr<MarketModelMultiProduct> clone() const override;
        //@}
      private:
        std::vector<Real> accruals_;
        std::vector<Real> accrualsFloating_;
        std::vector<Time> paymentTimes_;
        std::vector<Time> paymentTimesFloating_;
        std::vector<Time> allPaymentTimes_;
        Real totalCoupon_;
        std::vector<Real> strikes_;
        std::vector<Real> multipliers_;
        std::vector<Real> floatingSpreads_;
        Size lastIndex_;
      
        // things that vary in a path
        Real couponPaid_;
        Size currentIndex_;
    };
 
 
 
 
}
 
#endif