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/*
Copyright (C) 2000, 2001, 2002 RiskMap 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 ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
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.
*/
// $Id: MultiPath.i,v 1.11 2002/01/16 14:50:51 nando Exp $
#ifndef quantlib_multipath_i
#define quantlib_multipath_i
%include Path.i
%{
using QuantLib::MonteCarlo::Path;
using QuantLib::MonteCarlo::MultiPath;
using QuantLib::MonteCarlo::GaussianMultiPathGenerator;
typedef QuantLib::MonteCarlo::Sample<QuantLib::MonteCarlo::MultiPath>
SampleMultiPath;
%}
class MultiPath {
private:
// access control - no constructor exported
MultiPath();
public:
~MultiPath();
/* Size */ int assetNumber() const ;
};
%addmethods MultiPath {
int __len__() {
return int(self->assetNumber());
}
Path __getitem__(int i) {
int size_ = int(self->assetNumber());
if (i>=0 && i<size_) {
return (*self)[i];
} else if (i<0 && -i<=size_) {
return (*self)[size_+i];
} else {
throw IndexError("Path index out of range");
}
QL_DUMMY_RETURN(0.0)
}
}
class SampleMultiPath {
public:
~SampleMultiPath();
MultiPath value;
double weight;
private:
SampleMultiPath();
};
class GaussianMultiPathGenerator {
public:
GaussianMultiPathGenerator(const Array& drifts,
const Matrix& covariance,
const DoubleVector& timeDelays,
long seed=0);
~GaussianMultiPathGenerator();
SampleMultiPath next() const;
};
#endif
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