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payoff.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2003 Ferdinando Ametrano
 Copyright (C) 2006 StatPro Italia srl

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/reference/license.html>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

/*! \file payoff.hpp
    \brief Option payoff classes
*/

#ifndef quantlib_payoff_hpp
#define quantlib_payoff_hpp

#include <ql/types.hpp>
#include <ql/Patterns/visitor.hpp>
#include <ql/errors.hpp>
#include <functional>

namespace QuantLib {

    //! Base class for option payoffs
00036     class Payoff : std::unary_function<Real,Real> {
      public:
        virtual ~Payoff() {}
        //! \name Payoff interface
        //@{
        virtual Real operator()(Real price) const = 0;
        //@}
        //! \name Visitability
        //@{
        virtual void accept(AcyclicVisitor&);
        //@}
    };


    // inline definitions

    inline void Payoff::accept(AcyclicVisitor& v) {
        Visitor<Payoff>* v1 = dynamic_cast<Visitor<Payoff>*>(&v);
        if (v1 != 0)
            v1->visit(*this);
        else
            QL_FAIL("not a payoff visitor");
    }

}


#endif

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