3 #ifndef __cflBrownian_hpp__ 4 #define __cflBrownian_hpp__ 64 double dInterval)
const = 0;
126 Slice state(
unsigned iEventTime,
unsigned iState)
const;
180 #include "cfl/Inline/iBrownian.hpp" 181 #endif // of __cflBrownian_hpp__ One-dimensional indicator functions.
Concrete class for the operator of conditional expectation with respect to gaussian distribution...
Definition: GaussRollback.hpp:77
Interface class for the basic financial model with Brownian motion.
Definition: Brownian.hpp:41
Standard concrete class for interpolation of one-dimensional functions.
Definition: Interp.hpp:57
Brownian model(double dQuality, const GaussRollback &rRollback=NGaussRollback::improved(), const Ind &rInd=NInd::smart(), const Interp &rInterp=NInterp::spline())
Interface class for financial models.
Definition: Model.hpp:31
virtual ~IBrownian()
Definition: Brownian.hpp:47
virtual void addDependence(Slice &rSlice, const std::vector< unsigned > &rStates) const =0
virtual void indicator(Slice &rSlice, double dBarrier) const =0
Conditional expectation with respect to gaussian distribution.
virtual unsigned numberOfNodes(unsigned iEventTime, const std::vector< unsigned > &rStates) const =0
GaussRollback improved(const GaussRollback &rFast=crankNicolson(), const Function &rUniformSteps=Function(c_iImprovedExplicitSteps), const Function &rImplicitSteps=Function(c_iImprovedImplicitSteps))
virtual IBrownian * newModel(const std::vector< double > &rVar, const std::vector< double > &rEventTimes, double dInterval) const =0
Representation of random payoffs in the library.
Definition: Slice.hpp:40
Standard concrete class for indicator functions.
Definition: Ind.hpp:67
Interpolation of one-dimensional functions.
virtual const std::vector< double > & eventTimes() const =0
virtual std::valarray< double > origin() const =0
Main namespace for cfl library.
Definition: Approx.hpp:22
Standard concrete class for multi-dimensional function object.
Definition: MultiFunction.hpp:79
Random payoffs in cfl library.
virtual unsigned numberOfStates() const =0
Concrete class for the basic financial model with Brownian motion.
Definition: Brownian.hpp:75
virtual Slice state(unsigned iEventTime, unsigned iState) const =0
virtual void rollback(Slice &rSlice, unsigned iEventTime) const =0
virtual MultiFunction interpolate(const Slice &rSlice) const =0