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/*
* MonteCarloSimulation.h
*
* Created on: 20.05.2011
* Author: sven
*/
#ifndef MONTECARLOSIMULATION_H_
#define MONTECARLOSIMULATION_H_
#include "Parametrisation.h"
#include "CholeskyDecomposition.h"
#include <vector>
typedef std::vector< std::vector<double> > SimulatedCourseChanges;
class MonteCarloSimulation {
public:
MonteCarloSimulation();
virtual ~MonteCarloSimulation();
void doSimulations(const Parametrisation& param, const CholeskyDecomposition& cholDecomp);
private:
SimulatedCourseChanges mOneDaySimulatedCourseChanges;
SimulatedCourseChanges mTenDaySimulatedCourseChanges;
};
#endif /* MONTECARLOSIMULATION_H_ */
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