ContinuousTimeOption.h

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#pragma once
 
#include "stdafx.h"
#include "Priceable.h"
#include "Matrix.h"
 
/**
 *  Interface class for an option whose payoff should
 *  be approximated by looking at stock prices over all time
 *  time points
 */
class ContinuousTimeOption : public Priceable {
public:
    /*  Virtual destructor */
    virtual ~ContinuousTimeOption() {};
    /*  The maturity of the option */
    virtual double getMaturity() const = 0;
    /*  Calculate the payoff of the option given
        a history of prices */
    virtual Matrix payoff(
        const MarketSimulation& simulation
        ) const = 0;
    /*  Is the option path-dependent?*/
    virtual bool isPathDependent() const = 0;
    /*  What stocks does the contract depend upon? */
    virtual std::set<std::string>
        getStocks() const = 0;
};
 
typedef std::shared_ptr<ContinuousTimeOption> SPContinuousTimeOption;
typedef std::shared_ptr<const ContinuousTimeOption> SPCContinuousTimeOption;