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TypedefsMacros.h

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00001 /* WARANTY NOTICE AND COPYRIGHT
00002 This program is free software; you can redistribute it and/or
00003 modify it under the terms of the GNU General Public License
00004 as published by the Free Software Foundation; either version 2
00005 of the License, or (at your option) any later version.
00006 
00007 This program is distributed in the hope that it will be useful,
00008 but WITHOUT ANY WARRANTY; without even the implied warranty of
00009 MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
00010 GNU General Public License for more details.
00011 
00012 You should have received a copy of the GNU General Public License
00013 along with this program; if not, write to the Free Software
00014 Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
00015 
00016 Copyright (C) Michael J. Meyer
00017 
00018 matmjm@mindspring.com
00019 spyqqqdia@yahoo.com
00020 
00021 */
00022 
00023 #ifndef martingale_typedefsmacros_h
00024 #define martingale_typedefsmacros_h
00025 
00026 #include <iostream>                         // once and for all
00027 
00028 #define MTGL_BEGIN_NAMESPACE(name) namespace name {
00029 #define MTGL_END_NAMESPACE(name) }
00030 
00031 
00032 #define SMALL       30               // matrix optimizations below this size.
00033 #define SOBOL_MAX_DIM 300            // maximal dimension of the Sobol generator
00034 #define LMM_MAX_DIM 300              // maximal dimension of a Libor process for
00035                                      // which a lattice can be built.
00036 #define BASKET_MAX_DIM 300           // maximum number of assets in a basket for
00037                                      // which a lattice can be built.
00038 #define LATTICE_MAX_STEPS 310        // maximum number of time steps in a two factor 
00039                                      // lattice (assumes 1GB of main memory)
00040 
00041 // the basic scalar type
00042 typedef double Real;
00043 
00044 
00045 
00046 
00047 #endif
00048 

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