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// Copyright (C) 2016 EDF
// All Rights Reserved
// This code is published under the GNU Lesser General Public License (GNU LGPL)
#ifndef SIMULATORDPBASE_H
#define SIMULATORDPBASE_H
#include <Eigen/Dense>
/* \file SimulatorDPBase.h
* \brief Abstract class for simulators for Dynamic Programming Programms
* \author Xavier Warin
*/
namespace StOpt
{
/// \class SimulatorDPBase SimulatorDPBase.h
/// Abstract class for simulator used in dynamic programming
class SimulatorDPBase
{
public :
/// \brief Constructor
SimulatorDPBase() {}
/// \brief Destructor
virtual ~SimulatorDPBase() {}
/// \brief get current markovian state : dimension of the problem for the first dimension , second dimension the number of Monte Carlo simulations
virtual Eigen::MatrixXd getParticles() const = 0;
/// \brief a step forward for simulations
virtual void stepForward() = 0;
/// \brief a step backward for simulations
virtual void stepBackward() = 0;
/// \brief a step forward for simulations
/// \return current particles (markovian state as assets for example) (dimension of the problem times simulation number)
virtual Eigen::MatrixXd stepForwardAndGetParticles() = 0;
/// \brief a step backward for simulations
/// \return current particles (markovian state as assets for example) (dimension of the problem times simulation number)
virtual Eigen::MatrixXd stepBackwardAndGetParticles() = 0;
/// \brief get back dimension of the regression
virtual int getDimension() const = 0;
/// \brief get the number of steps
virtual int getNbStep() const = 0;
/// \brief Get the current step size
virtual double getStep() const = 0;
/// \brief Get current time
virtual double getCurrentStep() const = 0 ;
/// \brief Number of Monte Carlo simulations
virtual int getNbSimul() const = 0;
/// \brief Permit to actualize for one time step (interest rate)
virtual double getActuStep() const = 0;
/// \brief Permits to actualize at the initial date (interest rate)
virtual double getActu() const = 0 ;
};
}
#endif /* SIMULATORDPBASE_H */
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