1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2006 Klaus Spanderen
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 /*! \file earlyexercisepathpricer.hpp
21     \brief base class for early exercise single-path pricers
22 */
23 
24 #ifndef quantlib_early_exercise_path_pricer_hpp
25 #define quantlib_early_exercise_path_pricer_hpp
26 
27 #include <ql/math/array.hpp>
28 #include <ql/methods/montecarlo/path.hpp>
29 #include <ql/methods/montecarlo/multipath.hpp>
30 #include <ql/functional.hpp>
31 
32 namespace QuantLib {
33 
34     template <class PathType>
35     class EarlyExerciseTraits {
36         // dummy definition, will not work
37     };
38 
39     template <>
40     class EarlyExerciseTraits<Path> {
41       public:
42         typedef Real StateType;
pathLength(const Path & path)43         static Size pathLength(const Path& path) {
44             return path.length();
45         }
46     };
47 
48     template <>
49     class EarlyExerciseTraits<MultiPath> {
50       public:
51         typedef Array StateType;
pathLength(const MultiPath & path)52         static Size pathLength(const MultiPath& path) {
53             return path.pathSize();
54         }
55     };
56 
57     //! base class for early exercise path pricers
58     /*! Returns the value of an option on a given path and given time.
59 
60         \ingroup mcarlo
61     */
62     template<class PathType,
63              class TimeType=Size, class ValueType=Real>
64     class EarlyExercisePathPricer {
65       public:
66         typedef typename EarlyExerciseTraits<PathType>::StateType StateType;
67 
~EarlyExercisePathPricer()68         virtual ~EarlyExercisePathPricer() {}
69         virtual ValueType operator()(const PathType& path,
70                                      TimeType t) const = 0;
71 
72         virtual StateType
73             state(const PathType& path, TimeType t) const = 0;
74         virtual std::vector<ext::function<ValueType(StateType)> >
75             basisSystem() const = 0;
76     };
77 }
78 
79 
80 #endif
81