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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_proxy_greek_engine_hpp
#define quantlib_proxy_greek_engine_hpp
// to be removed using forward declaration
#include <ql/models/marketmodels/multiproduct.hpp>
#include <ql/math/statistics/sequencestatistics.hpp>
#include <ql/utilities/clone.hpp>
#include <valarray>
namespace QuantLib {
class MarketModelEvolver;
class ConstrainedEvolver;
class MarketModelDiscounter;
class ProxyGreekEngine {
public:
ProxyGreekEngine(
ext::shared_ptr<MarketModelEvolver> evolver,
std::vector<std::vector<ext::shared_ptr<ConstrainedEvolver> > > constrainedEvolvers,
std::vector<std::vector<std::vector<Real> > > diffWeights,
std::vector<Size> startIndexOfConstraint,
std::vector<Size> endIndexOfConstraint,
const Clone<MarketModelMultiProduct>& product,
Real initialNumeraireValue);
void multiplePathValues(
SequenceStatisticsInc& stats,
std::vector<std::vector<SequenceStatisticsInc> >& modifiedStats,
Size numberOfPaths);
void singlePathValues(
std::vector<Real>& values,
std::vector<std::vector<std::vector<Real> > >& modifiedValues);
private:
void singleEvolverValues(MarketModelEvolver& evolver,
std::vector<Real>& values,
bool storeRates = false);
ext::shared_ptr<MarketModelEvolver> originalEvolver_;
std::vector<std::vector<ext::shared_ptr<ConstrainedEvolver> > >
constrainedEvolvers_;
std::vector<std::vector<std::vector<Real> > > diffWeights_;
std::vector<Size> startIndexOfConstraint_;
std::vector<Size> endIndexOfConstraint_;
Clone<MarketModelMultiProduct> product_;
Real initialNumeraireValue_;
Size numberProducts_;
// workspace
std::vector<Rate> constraints_;
std::valarray<bool> constraintsActive_;
std::vector<Real> numerairesHeld_;
std::vector<Size> numberCashFlowsThisStep_;
std::vector<std::vector<MarketModelMultiProduct::CashFlow> >
cashFlowsGenerated_;
std::vector<MarketModelDiscounter> discounters_;
};
}
#endif
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