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path.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) 2000, 2001, 2002, 2003 RiskMap 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 path.hpp
    \brief single factor random walk
*/

#ifndef quantlib_montecarlo_path_h
#define quantlib_montecarlo_path_h

#include <ql/grid.hpp>

namespace QuantLib {

    /*! single factor random walk path pricer

        \todo should Path include the t=0.0 point?
              Alternatively all path pricers must be revisited.

        \ingroup mcarlo
    */
00039     class Path {
      public:
        Path(const TimeGrid& timeGrid,
             const Array& drift = Array(),
             const Array& diffusion = Array());
        //! \name inspectors
        //@{
        Real operator[](Size i) const;
        Size size() const;
        //@}
        //! \name read/write access to components
        //@{
        const TimeGrid& timeGrid() const;
        TimeGrid& timeGrid();
        const Array& drift() const;
        Array& drift();
        const Array& diffusion() const;
        Array& diffusion();
        //@}
      private:
        TimeGrid timeGrid_;
        Array drift_;
        Array diffusion_;
    };


    // inline definitions

    inline Path::Path(const TimeGrid& timeGrid, const Array& drift,
                      const Array& diffusion)
    : timeGrid_(timeGrid), drift_(drift), diffusion_(diffusion) {
        if (drift_.size()==0) {
            if (timeGrid_.size() > 0)
                drift_ = Array(timeGrid_.size()-1);
        } else {
            QL_REQUIRE(drift_.size() == timeGrid_.size()-1,
                       "drift and times have different size");
        }
        if (diffusion_.size()==0) {
            if (timeGrid_.size() > 0)
                diffusion_ = Array(timeGrid_.size()-1);
        } else {
            QL_REQUIRE(diffusion_.size() == timeGrid_.size()-1,
                       "diffusion and times have different size");
        }
    }

    inline Real Path::operator[](Size i) const {
        return drift_[i] + diffusion_[i];
    }

    inline Size Path::size() const {
        return drift_.size();
    }

    inline const TimeGrid& Path::timeGrid() const {
        return timeGrid_;
    }

    inline TimeGrid& Path::timeGrid() {
        return timeGrid_;
    }

    inline const Array& Path::drift() const {
        return drift_;
    }

    inline Array& Path::drift() {
        return drift_;
    }

    inline const Array& Path::diffusion() const {
        return diffusion_;
    }

    inline Array& Path::diffusion() {
        return diffusion_;
    }

}


#endif

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