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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_nothing_exercise_value_hpp
#define quantlib_nothing_exercise_value_hpp
#include <ql/models/marketmodels/callability/exercisevalue.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
namespace QuantLib {
class NothingExerciseValue : public MarketModelExerciseValue {
public:
//! \todo use Payoff
NothingExerciseValue(const std::vector<Time>& rateTimes,
std::valarray<bool> isExerciseTime = std::valarray<bool>());
Size numberOfExercises() const override;
// including any time at which state should be updated
const EvolutionDescription& evolution() const override;
std::vector<Time> possibleCashFlowTimes() const override;
void nextStep(const CurveState&) override;
void reset() override;
// whether or not evolution times are exercise times
std::valarray<bool> isExerciseTime() const override;
MarketModelMultiProduct::CashFlow value(const CurveState&) const override;
std::unique_ptr<MarketModelExerciseValue> clone() const override;
private:
Size numberOfExercises_;
std::vector<Time> rateTimes_;
std::valarray<bool> isExerciseTime_;
EvolutionDescription evolution_;
// evolving
Size currentIndex_ = 0;
MarketModelMultiProduct::CashFlow cf_;
};
}
#endif
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