American-transaction costs 1.0.0.0 American option pricer under proportional transaction costs

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path.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_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

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