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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: Path.i,v 1.12 2002/01/16 14:50:51 nando Exp $
#ifndef quantlib_path_i
#define quantlib_path_i
%include QLArray.i
%{
using QuantLib::MonteCarlo::Path;
using QuantLib::MonteCarlo::GaussianPathGenerator;
typedef QuantLib::MonteCarlo::Sample<QuantLib::MonteCarlo::Path> SamplePath;
%}
class Path {
private:
// access control - no constructor exported
Path();
public:
~Path();
Array drift() const;
Array diffusion() const;
};
%addmethods Path {
int __len__() {
return int(self->size());
}
double __getitem__(int i) {
int size_ = int(self->size());
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 SamplePath {
public:
~SamplePath();
Path value;
double weight;
private:
SamplePath();
};
class GaussianPathGenerator {
public:
GaussianPathGenerator(double drift, double variance,
Time length, /* Size */ int steps, long seed = 0);
~GaussianPathGenerator();
SamplePath next() const;
};
#endif
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