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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 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_swap_forward_basis_system_hpp
#define quantlib_swap_forward_basis_system_hpp
#include <ql/models/marketmodels/callability/marketmodelbasissystem.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
namespace QuantLib {
class SwapForwardBasisSystem : public MarketModelBasisSystem
{
public:
SwapForwardBasisSystem(const std::vector<Time>& rateTimes,
const std::vector<Time>& exerciseTimes);
Size numberOfExercises() const override;
std::vector<Size> numberOfFunctions() const override;
const EvolutionDescription& evolution() const override;
void nextStep(const CurveState&) override;
void reset() override;
std::valarray<bool> isExerciseTime() const override;
void values(const CurveState&, std::vector<Real>& results) const override;
std::unique_ptr<MarketModelBasisSystem> clone() const override;
private:
std::vector<Time> rateTimes_, exerciseTimes_;
Size currentIndex_;
std::vector<Size> rateIndex_;
EvolutionDescription evolution_;
};
}
#endif
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