option.hpp

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#ifndef JULIAN_OPTION_HPP
#define JULIAN_OPTION_HPP

#include <dates/date.hpp>
#include <vector>
#include <instruments/instrumentAuxiliaryTypes.hpp>
#include <utils/smartPointer.hpp>
#include <marketModels/marketModel.hpp>
#include <mathematics/stochasticProcesses/path.hpp>

namespace julian {

  class Option {
  public:
    virtual double payoff(double) const = 0;

    virtual Date getExpiry() const = 0;

    virtual Date getMaturity() const = 0;

    virtual double getStrike() const = 0;

    virtual void recordFixing(Date,double); 
    
    virtual double prizePaths(std::vector<Path> path, double df) const = 0;
    


    
    virtual double prizeAnalytically(const SmartPointer<MarketModel>&) const = 0;

    virtual Option* clone() const = 0;

    virtual ~Option(){};
    
    friend class boost::serialization::access;
  private:

    template<class Archive>
    void serialize(Archive & , const unsigned int) {
    }
  };
}  // namespae julian
#endif