1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2006 StatPro Italia srl
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 #ifndef quantlib_market_model_composite_product_hpp
21 #define quantlib_market_model_composite_product_hpp
22 
23 #include <ql/models/marketmodels/multiproduct.hpp>
24 #include <ql/models/marketmodels/evolutiondescription.hpp>
25 #include <ql/utilities/clone.hpp>
26 #include <valarray>
27 
28 namespace QuantLib {
29 
30     //! Composition of two or more market-model products
31     /*! Instances of this class build a market-model product by
32         composing one or more subproducts.
33 
34         \pre All subproducts must have the same rate times.
35     */
36     class MarketModelComposite : public MarketModelMultiProduct {
37       public:
38         MarketModelComposite();
39         //! \name MarketModelMultiProduct interface
40         //@{
41         const EvolutionDescription& evolution() const;
42         std::vector<Size> suggestedNumeraires() const;
43         std::vector<Time> possibleCashFlowTimes() const;
44         void reset();
45         //@}
46         //! \name Composite facilities
47         //@{
48         void add(const Clone<MarketModelMultiProduct>&,
49                  Real multiplier = 1.0);
50         void subtract(const Clone<MarketModelMultiProduct>&,
51                       Real multiplier = 1.0);
52         void finalize();
53         Size size() const;
54         const MarketModelMultiProduct& item(Size i) const;
55         MarketModelMultiProduct& item(Size i);
56         Real multiplier(Size i) const;
57         //@}
58       protected:
59         // subproducts
60         struct SubProduct {
61             Clone<MarketModelMultiProduct> product;
62             Real multiplier;
63             std::vector<Size> numberOfCashflows;
64             std::vector<std::vector<CashFlow> > cashflows;
65             std::vector<Size> timeIndices;
66             bool done;
67         };
68         std::vector<SubProduct> components_;
69         typedef std::vector<SubProduct>::iterator iterator;
70         typedef std::vector<SubProduct>::const_iterator const_iterator;
71         // common evolution data
72         std::vector<Time> rateTimes_;
73         std::vector<Time> evolutionTimes_;
74         EvolutionDescription evolution_;
75         // working variables
76         bool finalized_;
77         Size currentIndex_;
78         std::vector<Time> cashflowTimes_;
79         std::vector<std::vector<Time> > allEvolutionTimes_;
80         std::vector<std::valarray<bool> > isInSubset_;
81     };
82 
83 }
84 
85 
86 #endif
87