binomialTree.h

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#pragma once
#ifndef binomialtree_h
#define binomialtree_h

#include "../common/types.h"
#include "../PartA/MonteCarlo1/PayOff.h"
#include "../PartB/yieldCurve.h"
#include "../PartC/asset.h"
#include "../common/utils.h"
#include <iostream>
#include <valarray>
using namespace std;

#define BT_DEFAULT_SO 100
#define BT_DEFAULT_RATE 0.05
#define BT_DEFAULT_SIGMA 0.30
#define BT_DEFAULT_MATURITY 1
#define BT_DEFAULT_STEPS 10

class binomialTree {
public:
        friend ostream& operator << (ostream &os, const binomialTree& bt);
        friend ostream& operator << (ostream &os, const binomialTree* bt) {
                return os << *bt;
        };

        binomialTree(void);

        binomialTree(Real So, Real r, Real sigma, Real T, Natural n);
        binomialTree(Real So, Real r, Real sigma, Real T, Natural n, Real u, Real d);
        binomialTree(const asset& theAsset, yieldCurve& yc, Real T, Natural n);
        binomialTree(const binomialTree &rhs);
        binomialTree &operator=(const binomialTree &rhs);
        virtual ~binomialTree(void);

        const valarray<Real>* getStockProcess(Natural step);

        const valarray<Real>* getClaimProcess(Natural step);

        Real getPrice();

        void runEngineConvertibleBond(PayOff thePayoff, 
                Real ConversionRatio,
                Real CallPrice,
                Real PutPrice);

        void runEngineCall(PayOff thePayoff);
        // void runEnginePut(PayOff thePayoff, Real Strike);
        // void runEngineAmericanCall(PayOff thePayoff, Real Strike);
        // void runEngineAmericanPut(PayOff thePayoff, Real Strike);

protected:
        Real getSo() const {return _So;};
        Real getRate(Natural timestep) const {
                return (timestep < _n ? _discountFactor[timestep] : 0);
        };
        Real getSigma() const {return _sigma;};
        Real getMaturity() const {return _maturity;};
        Natural getSteps() const {return _n;};
        void constructStockProcess();
        void setClaimVariables(Real constantRate);
        void setClaimVariables(yieldCurve& yc);
private:
        Real _So;
        Real _sigma;
        Real _maturity;
        Natural _n;
        Real _dt;
        Real _u;
        Real _d;

        valarray<valarray <Real> > _stockProcess;

        valarray<valarray <Real> > _claimProcess;

        valarray<Real> _discountFactor;
        
        valarray<Real> _q;

        void
        copyObj(const binomialTree &rhs);
};

#endif

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