Logo Search packages:      
Sourcecode: quantlib version File versions  Download package


Go to the documentation of this file.
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 Copyright (C) 2009 Andrea Odetti

 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

 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 adaptedpathpayoff.hpp
    \brief Adapted Option payoff classes

#ifndef quantlib_adapted_path_payoff_hpp
#define quantlib_adapted_path_payoff_hpp

#include <ql/experimental/mcbasket/pathpayoff.hpp>

namespace QuantLib {

00031     class AdaptedPathPayoff : public PathPayoff {

00034         class ValuationData {
            Size numberOfTimes() const;
            Size numberOfAssets() const;

            Real getAssetValue(Size time, Size asset);

            void setPayoffValue(Size time, Real value);

            // set the exercise payoff if the option is exercised at time "time"
            // it destroys state
            void setExerciseData(Size time, Real exercise, Array & state);


            friend class AdaptedPathPayoff;

            ValuationData(const Matrix       & path, 
                          Array              & payments, 
                          Array              & exercises, 
                          std::vector<Array> & states);

            const Matrix & path_;

            Array & payments_;
            Array & exercises_;
            std::vector<Array> & states_;

            Size maximumTimeRead_;

        virtual void value(const Matrix       & path, 
                           Array              & payments, 
                           Array              & exercises, 
                           std::vector<Array> & states) const;


          Key method of this class.

          It computes the payoff by calling ValuationData::setPayoffValue();
          and provides early exercise information 
          via ValuationData::setExerciseData();
        virtual void operator()(ValuationData & data) const = 0;


Generated by  Doxygen 1.6.0   Back to index