Exotics.h

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#pragma once

#ifndef EXOTICS_H
#define EXOTICS_H

#include "./../PartB/yieldCurve.h"
#include "./../PartE/volsurface.h"

#include<valarray>
using namespace std;

static const Real defaultShiftVolSurface=0.01;
static const Real defaultAdvDays=1.;

Real mainmc(Real Expiry, Real Strike, Real Spot, volsurface* pvolsurface, yieldCurve* pyieldCurve,
           LongNatural nPaths, LongNatural nDates, Integer PrdName);

enum exoticsType {
        AsianCall,
        AsianPut,
        RevLookbackCall,
        RevLookbackPut,
        FlooredCliquet,
        CappedCliquet,
        CollaredCliquet,
        BarrierCall,
        BarrierPut
};

class Exotics
{
public:
        Exotics(exoticsType type,yieldCurve* curve,volsurface* surface,Real spot,Real strike,
                Real Expiry,LongNatural nDates=10,Real strike2=-1.,LongNatural nPaths=100000);
        ~Exotics(void);
        Real getPrice();
        Real getRho();
        Real getTheta();
        Real getVega();
        Real getDelta();

private:
        exoticsType _type;
        Real _expiry;
        Real _spot;
        Real _strike;
        Real _strike2;
        volsurface* _volSurface;
        yieldCurve* _yieldCurve;
        LongNatural _nPaths;
        LongNatural _nDates;
};

#endif;

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