American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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00001 /* 00002 American option pricer under proportional transaction costs 00003 Copyright (C) 2011 Alet Roux alet.roux@york.ac.uk 00004 00005 This program is free software: you can redistribute it and/or modify 00006 it under the terms of the GNU General Public License as published by 00007 the Free Software Foundation, either version 3 of the License, or 00008 (at your option) any later version. 00009 00010 This program is distributed in the hope that it will be useful, 00011 but WITHOUT ANY WARRANTY; without even the implied warranty of 00012 MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 00013 GNU General Public License for more details. 00014 00015 You should have received a copy of the GNU General Public License 00016 along with this program. If not, see <http://www.gnu.org/licenses/>. 00017 00018 */ 00019 00020 #ifndef STATISTICSGATHERER_SOME_H 00021 #define STATISTICSGATHERER_SOME_H 00022 00025 00026 //#include "initial.h" 00027 #include "path.h" 00028 00030 template<class T> 00031 class StatisticsGathererSome : public StatisticsGatherer<T> 00032 { 00033 public: 00038 StatisticsGathererSome (const std::vector< std::vector<size_t> >& path) 00039 : _path (path) 00040 { 00041 for (size_t t = 0; t < _path.size(); t++) 00042 _object.push_back (std::vector<T> (_path[t].size())); 00043 } 00044 00045 operator StatisticsGathererInitial<T>() const 00046 { 00047 StatisticsGathererInitial<T> gatherer; 00048 gatherer.dump_result (0, 0, _object[0][0]); 00049 00050 return gatherer; 00051 } 00052 00053 operator T() const 00054 { 00055 return _object[0][0]; 00056 } 00057 00058 virtual void dump_result (const size_t t, const size_t k, const T& object) 00059 { 00060 for (size_t l = 0; l < _path[t].size(); l++) 00061 if (_path[t][l] == k) 00062 _object[t][l] = object; 00063 } 00064 00065 std::vector<T> operator[] (const size_t t) const 00066 { 00067 return _object[t]; 00068 }; 00069 00070 std::vector<T>& operator[] (const size_t t) 00071 { 00072 return _object[t]; 00073 }; 00074 00075 T operator() (const size_t t, const size_t k) const 00076 { 00077 return _object[t][k]; 00078 }; 00079 00080 T& operator() (const size_t t, const size_t k) 00081 { 00082 return _object[t][k]; 00083 }; 00084 00085 StatisticsGathererPath<T> operator() (const std::vector<size_t>& path) const 00086 { 00087 StatisticsGathererPath<T> gatherer (path); 00088 for (size_t t = 0; t < _path.size(); t++) 00089 for (size_t k = 0; k < _path[t].size(); k++) 00090 gatherer.dump_result (t,_path[t][k],_object[t][k]); 00091 return gatherer; 00092 }; 00093 00095 size_t size() const 00096 { 00097 return _object.size(); 00098 } 00099 00101 size_t size (const size_t t) const 00102 { 00103 return _object[t].size(); 00104 } 00105 00107 size_t node (const size_t t, const size_t k) const 00108 { 00109 return _path[t][k]; 00110 }; 00111 00112 00113 private: 00114 std::vector< std::vector<size_t> > _path; 00115 std::vector< std::vector<T> > _object; 00116 }; 00117 00118 template<class T> 00119 inline std::ostream& operator<< (std::ostream& output, const StatisticsGathererSome<T>& function) 00120 { 00121 for (size_t t = 0; t < function.size(); t++) 00122 for (size_t k = 0; k < function.size (t); k++) 00123 output << "(" << t << "," << function.node (t,k) << "): " << function (t,k) << std::endl; 00124 return output; 00125 } 00126 00127 #endif // STATISTICSGATHERER_SOME_H