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