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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
<https://www.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_longstaff_schwartz_exercise_strategy_hpp
#define quantlib_longstaff_schwartz_exercise_strategy_hpp
#include <ql/methods/montecarlo/exercisestrategy.hpp>
#include <ql/models/marketmodels/callability/marketmodelbasissystem.hpp>
#include <ql/models/marketmodels/callability/exercisevalue.hpp>
#include <ql/utilities/clone.hpp>
namespace QuantLib {
class MarketModelDiscounter;
class LongstaffSchwartzExerciseStrategy
: public ExerciseStrategy<CurveState> {
public:
LongstaffSchwartzExerciseStrategy(Clone<MarketModelBasisSystem> basisSystem,
std::vector<std::vector<Real> > basisCoefficients,
const EvolutionDescription& evolution,
const std::vector<Size>& numeraires,
Clone<MarketModelExerciseValue> exercise,
Clone<MarketModelExerciseValue> control);
std::vector<Time> exerciseTimes() const override;
std::vector<Time> relevantTimes() const override;
void reset() override;
bool exercise(const CurveState& currentState) const override;
void nextStep(const CurveState& currentState) override;
std::unique_ptr<ExerciseStrategy<CurveState> > clone() const override;
private:
Clone<MarketModelBasisSystem> basisSystem_;
std::vector<std::vector<Real> > basisCoefficients_;
Clone<MarketModelExerciseValue> exercise_;
Clone<MarketModelExerciseValue> control_;
std::vector<Size> numeraires_;
// work variable
Size currentIndex_;
Real principalInNumerairePortfolio_, newPrincipal_;
std::vector<Time> exerciseTimes_, relevantTimes_;
std::valarray<bool> isBasisTime_, isRebateTime_, isControlTime_;
std::valarray<bool> isExerciseTime_;
std::vector<MarketModelDiscounter> rebateDiscounters_;
std::vector<MarketModelDiscounter> controlDiscounters_;
mutable std::vector<std::vector<Real> > basisValues_;
std::vector<Size> exerciseIndex_;
};
}
#endif
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