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_multistep_forwards_hpp
22 #define quantlib_multistep_forwards_hpp
23 
24 #include <ql/models/marketmodels/products/multiproductmultistep.hpp>
25 
26 namespace QuantLib {
27 
28     class MultiStepForwards : public MultiProductMultiStep {
29       public:
30         MultiStepForwards(const std::vector<Time>& rateTimes,
31                           const std::vector<Real>& accruals,
32                           const std::vector<Time>& paymentTimes,
33                           const std::vector<Rate>& strikes);
34         //! \name MarketModelMultiProduct interface
35         //@{
36         std::vector<Time> possibleCashFlowTimes() const;
37         Size numberOfProducts() const;
38         Size maxNumberOfCashFlowsPerProductPerStep() const;
39         void reset();
40         bool nextTimeStep(
41                      const CurveState& currentState,
42                      std::vector<Size>& numberCashFlowsThisStep,
43                      std::vector<std::vector<CashFlow> >& cashFlowsGenerated);
44         #if defined(QL_USE_STD_UNIQUE_PTR)
45         std::unique_ptr<MarketModelMultiProduct> clone() const;
46         #else
47         std::auto_ptr<MarketModelMultiProduct> clone() const;
48         #endif
49         //@}
50       private:
51         std::vector<Real> accruals_;
52         std::vector<Time> paymentTimes_;
53         std::vector<Rate> strikes_;
54         // things that vary in a path
55         Size currentIndex_;
56     };
57 
58     // inline
59 
60     inline std::vector<Time>
possibleCashFlowTimes() const61     MultiStepForwards::possibleCashFlowTimes() const {
62         return paymentTimes_;
63     }
64 
numberOfProducts() const65     inline Size MultiStepForwards::numberOfProducts() const {
66         return strikes_.size();
67     }
68 
69     inline Size
maxNumberOfCashFlowsPerProductPerStep() const70     MultiStepForwards::maxNumberOfCashFlowsPerProductPerStep() const {
71         return 1;
72     }
73 
reset()74     inline void MultiStepForwards::reset() {
75        currentIndex_=0;
76     }
77 
78 }
79 
80 #endif
81