optionGreeks.hpp

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#ifndef JULIAN_OPTIONGREEKS_HPP
#define JULIAN_OPTIONGREEKS_HPP

#include <map>
#include <marketModels/marketModel.hpp>
#include <pricingEngines/pricingEngine.hpp>
#include <instruments/options/option.hpp>

namespace julian {
  struct GreeksIntermediateResults {
    std::map<std::tuple<double,double>, double> intermediate_results_; 
    std::map<std::string,double> PV_and_Greeks_; 
  };
  
  class OptionGreeks {
  public:

    virtual std::map<std::string,double> getRisks(const SmartPointer<MarketModel>&, const SmartPointer<PricingEngine>&, const SmartPointer<Option>&) = 0;
    
    virtual GreeksIntermediateResults calculateRisks(const SmartPointer<MarketModel>&,
                             const SmartPointer<PricingEngine>&,
                             const SmartPointer<Option>&) = 0;
    
    virtual OptionGreeks* clone() const;
    
    virtual ~OptionGreeks(){};
  };


}

#endif