American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
some.h
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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
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