Logo Search packages:      
Sourcecode: quantlib version File versions

upperboundengine.hpp

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

/*
 Copyright (C) 2006 Mark Joshi
 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/license.shtml>.

 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.
*/


#ifndef quantlib_upper_bound_engine_hpp
#define quantlib_upper_bound_engine_hpp

#include <ql/models/marketmodels/products/multiproductcomposite.hpp>
#include <ql/methods/montecarlo/exercisestrategy.hpp>
#include <ql/math/statistics/sequencestatistics.hpp>
#include <ql/utilities/clone.hpp>
#include <utility>

namespace QuantLib {

    class MarketModelEvolver;
    class MarketModelDiscounter;
    class MarketModelMultiProduct;
    class MarketModelExerciseValue;

    //! Market-model %engine for upper-bound estimation
    /*! \pre product and hedge must have the same rate times
             and exercise times
    */
00042     class UpperBoundEngine {
      public:
        UpperBoundEngine(
                   const boost::shared_ptr<MarketModelEvolver>& evolver,
                   const std::vector<boost::shared_ptr<MarketModelEvolver> >&
                                                                 innerEvolvers,
                   const MarketModelMultiProduct& underlying,
                   const MarketModelExerciseValue& rebate,
                   const MarketModelMultiProduct& hedge,
                   const MarketModelExerciseValue& hedgeRebate,
                   const ExerciseStrategy<CurveState>& hedgeStrategy,
                   Real initialNumeraireValue);
        void multiplePathValues(Statistics& stats,
                                Size outerPaths,
                                Size innerPaths);
        std::pair<Real,Real> singlePathValue(Size innerPaths);
      private:
        Real collectCashFlows(Size currentStep,
                              Real principalInNumerairePortfolio,
                              Size beginProduct,
                              Size endProduct) const;

        boost::shared_ptr<MarketModelEvolver> evolver_;
        std::vector<boost::shared_ptr<MarketModelEvolver> > innerEvolvers_;
        MultiProductComposite composite_;

        Real initialNumeraireValue_;
        Size underlyingSize_, rebateSize_, hedgeSize_, hedgeRebateSize_;
        Size underlyingOffset_, rebateOffset_, hedgeOffset_, hedgeRebateOffset_;
        Size numberOfProducts_;
        Size numberOfSteps_;
        std::vector<bool> isExerciseTime_;

        // workspace
        std::vector<Size> numberCashFlowsThisStep_;
        std::vector<std::vector<MarketModelMultiProduct::CashFlow> >
                                                         cashFlowsGenerated_;
        std::vector<MarketModelDiscounter> discounters_;
    };

}

#endif

Generated by  Doxygen 1.6.0   Back to index