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_node_data_provider_hpp
22 #define quantlib_market_model_node_data_provider_hpp
23 
24 #include <ql/types.hpp>
25 #include <vector>
26 #include <valarray>
27 
28 namespace QuantLib {
29 
30     class CurveState;
31     class EvolutionDescription;
32 
33     class MarketModelNodeDataProvider {
34       public:
~MarketModelNodeDataProvider()35         virtual ~MarketModelNodeDataProvider() {}
36         virtual Size numberOfExercises() const = 0;
37         // possibly different for each exercise
38         virtual std::vector<Size> numberOfData() const = 0;
39         // including any time at which state should be updated
40         virtual const EvolutionDescription& evolution() const = 0;
41         virtual void nextStep(const CurveState&) = 0;
42         virtual void reset() = 0;
43         // whether or not evolution times are exercise times
44         virtual std::valarray<bool> isExerciseTime() const = 0;
45         virtual void values(const CurveState&,
46                             std::vector<Real>& results) const = 0;
47     };
48 
49 }
50 
51 
52 #endif
53