MultiStepSwaption Class Reference

#include <ql/models/marketmodels/products/multistep/multistepswaption.hpp>

Inheritance diagram for MultiStepSwaption:

Public Member Functions
	MultiStepSwaption (const std::vector< Time > &rateTimes, Size startIndex, Size endIndex, ext::shared_ptr< StrikedTypePayoff > &)
Public Member Functions inherited from MultiProductMultiStep
	MultiProductMultiStep (std::vector< Time > rateTimes)
std::vector< Size >	suggestedNumeraires () const override
const EvolutionDescription &	evolution () const override

MarketModelMultiProduct interface
std::vector< Time >	possibleCashFlowTimes () const override
Size	numberOfProducts () const override
Size	maxNumberOfCashFlowsPerProductPerStep () const override
void	reset () override
	during simulation put product at start of path
bool	nextTimeStep (const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated) override
	return value indicates whether path is finished, TRUE means done
std::unique_ptr< MarketModelMultiProduct >	clone () const override
	returns a newly-allocated copy of itself

Additional Inherited Members
std::vector< Time >	rateTimes_
EvolutionDescription	evolution_

Detailed Description

Price a swaption associated to a contiguous subset of rates. Useful only for testing purposes. Steps through all rate times up to start of swap.

Member Function Documentation

possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelMultiProduct.

numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelMultiProduct.

maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelMultiProduct.

reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelMultiProduct.

nextTimeStep()

bool nextTimeStep ( const CurveState & currentState, std::vector< Size > & numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > & cashFlowsGenerated )

overridevirtual

return value indicates whether path is finished, TRUE means done

Implements MarketModelMultiProduct.

clone()

std::unique_ptr< MarketModelMultiProduct > clone ( ) const

overridevirtual

returns a newly-allocated copy of itself

Implements MarketModelMultiProduct.