1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ 2 3 /* 4 Copyright (C) 2006 Mark Joshi 5 6 This file is part of QuantLib, a free-software/open-source library 7 for financial quantitative analysts and developers - http://quantlib.org/ 8 9 QuantLib is free software: you can redistribute it and/or modify it 10 under the terms of the QuantLib license. You should have received a 11 copy of the license along with this program; if not, please email 12 <quantlib-dev@lists.sf.net>. The license is also available online at 13 <http://quantlib.org/license.shtml>. 14 15 This program is distributed in the hope that it will be useful, but WITHOUT 16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS 17 FOR A PARTICULAR PURPOSE. See the license for more details. 18 */ 19 20 21 #ifndef quantlib_market_model_evolver_hpp 22 #define quantlib_market_model_evolver_hpp 23 24 #include <ql/types.hpp> 25 #include <vector> 26 27 namespace QuantLib { 28 29 class CurveState; 30 31 //! Market-model evolver 32 /*! Abstract base class. The evolver does the actual gritty work of 33 evolving the forward rates from one time to the next. 34 */ 35 class MarketModelEvolver { 36 public: ~MarketModelEvolver()37 virtual ~MarketModelEvolver() {} 38 39 virtual const std::vector<Size>& numeraires() const = 0; 40 virtual Real startNewPath() = 0; 41 virtual Real advanceStep() = 0; 42 virtual Size currentStep() const = 0; 43 virtual const CurveState& currentState() const = 0; 44 virtual void setInitialState(const CurveState&) = 0; 45 }; 46 47 } 48 49 #endif 50