CFL
PathDependent.hpp
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1 //Copyright (c) Dmitry Kramkov, 2000-2006. All rights reserved.
2 
3 #ifndef __cflPathDependent_hpp__
4 #define __cflPathDependent_hpp__
5 
6 #include "cfl/Slice.hpp"
7 #include "cfl/Approx.hpp"
8 
19 namespace cfl
20 {
22 
23 
25 
32  {
33  public:
37  virtual ~IResetValues(){};
38 
53  virtual Slice resetValues(unsigned iEventTime, double dBeforeReset) const = 0;
54  };
55 
57 
65  {
66  public:
74  PathDependent(IResetValues * pNewP,
75  const std::vector<unsigned> & rTimeIndexes,
76  double dOrigin,
77  double dInterval = 0.);
78 
80  Slice resetValues(unsigned iEventTime, double dBeforeReset) const;
81 
86  const std::vector<unsigned> & timeIndexes() const;
87 
93  double origin() const;
94 
100  double interval() const;
101  private:
103  std::vector<unsigned> m_uTimeIndexes;
104  double m_dOrigin, m_dInterval;
105  };
107 }
108 
109 #include "cfl/Inline/iPathDependent.hpp"
110 #endif // of __cflPathDependent_hpp__
111 
virtual Slice resetValues(unsigned iEventTime, double dBeforeReset) const =0
Approximation of one-dimensional functions.
Interface class for a path dependent process.
Definition: PathDependent.hpp:31
Representation of random payoffs in the library.
Definition: Slice.hpp:40
virtual ~IResetValues()
Definition: PathDependent.hpp:37
Standard concrete class for path dependent functions.
Definition: PathDependent.hpp:64
Main namespace for cfl library.
Definition: Approx.hpp:22
Random payoffs in cfl library.