exoticbsengine.h

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

//
//
//                  ExoticBSEngine.h
//
//

#ifndef EXOTIC_BS_ENGINE_H
#define EXOTIC_BS_ENGINE_H
#include <ExoticEngine.h>
#include <Random2.h>

class ExoticBSEngine : public ExoticEngine
{
public:

      ExoticBSEngine(const Wrapper<PathDependent>& TheProduct_,
                     const Parameters& R_,
                     const Parameters& D_,
                     const Parameters& Vol_,
                     const Wrapper<RandomBase>& TheGenerator_,
                     double Spot_);

      virtual void GetOnePath(MJArray& SpotValues);
      virtual ~ExoticBSEngine(){}
 

private:

    Wrapper<RandomBase> TheGenerator;
    MJArray Drifts;
    MJArray StandardDeviations;
    double LogSpot;
    unsigned long NumberOfTimes;
    MJArray Variates;
};

#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.
*/