ADETwoFactorMethod.h

//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
//	LatticeMethod.h
//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
#ifndef ADETwoFactorMethodH
#define ADETwoFactorMethodH
//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX

#include <vector>

#include "ValuationMethodBase.h"

class PseudoFactory;
class PayOff;
class TwoFactorOption;
class ADEBase;
class ADETwoFactorBase;

//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
//	LatticeMethod
//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX

class ADETwoFactorMethod : public ValuationMethodBase
{
    public:
        explicit ADETwoFactorMethod(PseudoFactory &);
        ~ADETwoFactorMethod();
       
        void run();
        
    private:
       // bool IsEarlyExercise_;    // true if option is American or Bermudan

        long N_;                  // time steps
        double dt_;               // time step
        ADETwoFactorBase*  ade_two_factor;
        TwoFactorOption* two_factor_bse;
       
};

//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
#endif
//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
//	end of file
//XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX