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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006, 2007 Ferdinando Ametrano
Copyright (C) 2006, 2007 Mark Joshi
Copyright (C) 2007 StatPro Italia srl
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_marketmodel_hpp
#define quantlib_marketmodel_hpp
#include <ql/math/matrix.hpp>
#include <ql/utilities/null.hpp>
#include <ql/patterns/observable.hpp>
#include <vector>
namespace QuantLib {
class EvolutionDescription;
//! base class for market models
/*! For each time step, generates the pseudo-square root of the covariance
matrix for that time step.
*/
class MarketModel {
public:
virtual ~MarketModel() = default;
virtual const std::vector<Rate>& initialRates() const = 0;
virtual const std::vector<Spread>& displacements() const = 0;
virtual const EvolutionDescription& evolution() const = 0;
virtual Size numberOfRates() const = 0;
virtual Size numberOfFactors() const = 0;
virtual Size numberOfSteps() const = 0;
virtual const Matrix& pseudoRoot(Size i) const = 0;
virtual const Matrix& covariance(Size i) const;
virtual const Matrix& totalCovariance(Size endIndex) const;
std::vector<Volatility> timeDependentVolatility(Size i) const;
private:
mutable std::vector<Matrix> covariance_, totalCovariance_;
};
//! base class for market-model factories
class MarketModelFactory : public Observable {
public:
~MarketModelFactory() override = default;
virtual ext::shared_ptr<MarketModel> create(
const EvolutionDescription&,
Size numberOfFactors) const = 0;
};
}
#endif
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