ContinuousTimeOption.h
#pragma once
#include "stdafx.h"
/**
* Interface class for an option whose payoff should
* be approximated by looking at stock prices over all time
* time points
*/
class ContinuousTimeOption {
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 double payoff(
const std::vector<double>& stockPrices
) const = 0;
/* Is the option path-dependent?*/
virtual bool isPathDependent() const = 0;
};