pathdependentasian.h

C++ design pattern in finance. Must know for QF engineers

//
//
//                  PathDependentAsian.h
//
//

#ifndef PATH_DEPENDENT_ASIAN_H
#define PATH_DEPENDENT_ASIAN_H

#include <PathDependent.h>
#include <PayOffBridge.h>

class PathDependentAsian : public PathDependent
{
public:

    PathDependentAsian(const MJArray& LookAtTimes_, 
                       double DeliveryTime_,
                       const PayOffBridge& ThePayOff_);

    virtual unsigned long MaxNumberOfCashFlows() const;
    virtual MJArray PossibleCashFlowTimes() const;
    virtual unsigned long CashFlows(const MJArray& SpotValues, 
                                    std::vector<CashFlow>& GeneratedFlows) const;
    virtual ~PathDependentAsian(){}
    virtual PathDependent* clone() const;

private:

    double DeliveryTime;
    PayOffBridge ThePayOff;
    unsigned long NumberOfTimes;
};


#endif

/*
 *
 * Copyright (c) 2002
 * Mark Joshi
 *
 * Permission to use, copy, modify, distribute and sell this
 * software for any purpose is hereby
 * granted without fee, provided that the above copyright notice
 * appear in all copies and that both that copyright notice and
 * this permission notice appear in supporting documentation.
 * Mark Joshi makes no representations about the
 * suitability of this software for any purpose. It is provided
 * "as is" without express or implied warranty.
*/