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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 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_market_model_exercise_value_hpp
#define quantlib_market_model_exercise_value_hpp
// to be removed using forward declaration
#include <ql/models/marketmodels/multiproduct.hpp>
#include <memory>
#include <valarray>
namespace QuantLib {
class CurveState;
class EvolutionDescription;
//struct MarketModelMultiProduct::CashFlow;
class MarketModelExerciseValue {
public:
virtual ~MarketModelExerciseValue() = default;
virtual Size numberOfExercises() const = 0;
// including any time at which state should be updated
virtual const EvolutionDescription& evolution() const = 0;
virtual std::vector<Time> possibleCashFlowTimes() const = 0;
virtual void nextStep(const CurveState&) = 0;
virtual void reset() = 0;
// whether or not evolution times are exercise times
virtual std::valarray<bool> isExerciseTime() const = 0;
virtual MarketModelMultiProduct::CashFlow value(const CurveState&) const = 0;
virtual std::unique_ptr<MarketModelExerciseValue> clone() const = 0;
};
}
#endif
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