BermudanSwaptionExerciseValue Class Reference

#include <bermudanswaptionexercisevalue.hpp>

Inheritance diagram for BermudanSwaptionExerciseValue:

Collaboration diagram for BermudanSwaptionExerciseValue:

Public Member Functions
	BermudanSwaptionExerciseValue (const std::vector< Time > &rateTimes, std::vector< ext::shared_ptr< Payoff > >)
Size	numberOfExercises () const override
const EvolutionDescription &	evolution () const override
std::vector< Time >	possibleCashFlowTimes () const override
void	nextStep (const CurveState &) override
void	reset () override
std::valarray< bool >	isExerciseTime () const override
MarketModelMultiProduct::CashFlow	value (const CurveState &) const override
std::unique_ptr< MarketModelExerciseValue >	clone () const override
Public Member Functions inherited from MarketModelExerciseValue
virtual	~MarketModelExerciseValue ()=default
virtual Size	numberOfExercises () const =0
virtual const EvolutionDescription &	evolution () const =0
virtual std::vector< Time >	possibleCashFlowTimes () const =0
virtual void	nextStep (const CurveState &)=0
virtual void	reset ()=0
virtual std::valarray< bool >	isExerciseTime () const =0
virtual MarketModelMultiProduct::CashFlow	value (const CurveState &) const =0
virtual std::unique_ptr< MarketModelExerciseValue >	clone () const =0

Private Attributes
Size	numberOfExercises_
std::vector< Time >	rateTimes_
std::vector< ext::shared_ptr< Payoff > >	payoffs_
EvolutionDescription	evolution_
Size	currentIndex_ = 0
MarketModelMultiProduct::CashFlow	cf_

Detailed Description

Definition at line 33 of file bermudanswaptionexercisevalue.hpp.

Constructor & Destructor Documentation

BermudanSwaptionExerciseValue()

BermudanSwaptionExerciseValue	(	const std::vector< Time > &	rateTimes,
		std::vector< ext::shared_ptr< Payoff > >	payoffs
	)

Definition at line 28 of file bermudanswaptionexercisevalue.cpp.

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Member Function Documentation

numberOfExercises()

Size numberOfExercises ( ) const

overridevirtual

Implements MarketModelExerciseValue.

Definition at line 41 of file bermudanswaptionexercisevalue.cpp.

evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Implements MarketModelExerciseValue.

Definition at line 46 of file bermudanswaptionexercisevalue.cpp.

possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelExerciseValue.

Definition at line 51 of file bermudanswaptionexercisevalue.cpp.

nextStep()

void nextStep ( const CurveState &  state )

overridevirtual

Implements MarketModelExerciseValue.

Definition at line 59 of file bermudanswaptionexercisevalue.cpp.

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reset()

void reset ( )

overridevirtual

Implements MarketModelExerciseValue.

Definition at line 55 of file bermudanswaptionexercisevalue.cpp.

isExerciseTime()

std::valarray< bool > isExerciseTime ( ) const

overridevirtual

Implements MarketModelExerciseValue.

Definition at line 72 of file bermudanswaptionexercisevalue.cpp.

value()

MarketModelMultiProduct::CashFlow value ( const CurveState &  ) const

overridevirtual

Implements MarketModelExerciseValue.

Definition at line 77 of file bermudanswaptionexercisevalue.cpp.

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clone()

std::unique_ptr< MarketModelExerciseValue > clone ( ) const

overridevirtual

Implements MarketModelExerciseValue.

Definition at line 82 of file bermudanswaptionexercisevalue.cpp.

Member Data Documentation

numberOfExercises_

Size numberOfExercises_

private

Definition at line 48 of file bermudanswaptionexercisevalue.hpp.

rateTimes_

std::vector<Time> rateTimes_

private

Definition at line 49 of file bermudanswaptionexercisevalue.hpp.

payoffs_

std::vector<ext::shared_ptr<Payoff> > payoffs_

private

Definition at line 50 of file bermudanswaptionexercisevalue.hpp.

evolution_

EvolutionDescription evolution_

private

Definition at line 51 of file bermudanswaptionexercisevalue.hpp.

currentIndex_

Size currentIndex_ = 0

private

Definition at line 53 of file bermudanswaptionexercisevalue.hpp.

cf_

MarketModelMultiProduct::CashFlow cf_

private

Definition at line 54 of file bermudanswaptionexercisevalue.hpp.