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_PATH_H 00021 #define STATISTICSGATHERER_PATH_H 00022 00023 #include <vector> 00024 #include <ostream> 00025 #include "initial.h" 00026 00028 template<class T> 00029 class StatisticsGathererPath : public StatisticsGatherer<T> 00030 { 00031 public: 00036 StatisticsGathererPath (const std::vector< size_t >& path) 00037 : _path (path), _object (path.size()) 00038 {} 00039 00040 operator StatisticsGathererInitial<T>() const 00041 { 00042 StatisticsGathererInitial<T> gatherer; 00043 gatherer.dump_result (0, 0, _object[0]); 00044 00045 return gatherer; 00046 } 00047 00048 operator T() const 00049 { 00050 return _object[0]; 00051 } 00052 00053 virtual void dump_result (const size_t t, const size_t k, const T& object) 00054 { 00055 if (_path[t] == k) 00056 _object[t] = object; 00057 } 00058 00060 size_t node (const size_t t) const 00061 { 00062 return _path[t]; 00063 }; 00064 00065 T operator[] (const size_t t) const 00066 { 00067 return _object[t]; 00068 }; 00069 00070 T& operator[] (const size_t t) 00071 { 00072 return _object[t]; 00073 }; 00074 00076 size_t size() const 00077 { 00078 return _path.size(); 00079 } 00080 00081 private: 00082 std::vector<size_t> _path; 00083 std::vector<T> _object; 00084 }; 00085 00086 template<class T> 00087 inline std::ostream& operator<< (std::ostream& output, const StatisticsGathererPath<T>& function) 00088 { 00089 for (size_t k = 0; k < function.size(); k++) 00090 output << "(" << k << "," << function.node (k) << "): " << function[k] << std::endl; 00091 return output; 00092 } 00093 00094 00095 #endif // STATISTICSGATHERER_PATH_H