pathdependent.h

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

//
//
//                      PathDependent.h
//
//
//

#ifndef PATH_DEPENDENT_H
#define PATH_DEPENDENT_H
#include <Arrays.h>
#include <vector>

class CashFlow
{
public:

    double Amount;
    unsigned long TimeIndex;
    
    CashFlow(unsigned long TimeIndex_=0UL, double Amount_=0.0) 
                : TimeIndex(TimeIndex_),
                  Amount(Amount_){};
 

};

class PathDependent
{
public:

    PathDependent(const MJArray& LookAtTimes);

    const MJArray& GetLookAtTimes() const;

    virtual unsigned long MaxNumberOfCashFlows() const=0;
    virtual MJArray PossibleCashFlowTimes() const=0;
    virtual unsigned long CashFlows(const MJArray& SpotValues, 
                                    std::vector<CashFlow>& GeneratedFlows) const=0;
    virtual PathDependent* clone() const=0;

    virtual ~PathDependent(){}

private:

    MJArray LookAtTimes;

};

#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.
*/