MultiStepInverseFloater Class Reference

#include <multistepinversefloater.hpp>

Inheritance diagram for MultiStepInverseFloater:

Collaboration diagram for MultiStepInverseFloater:

Public Member Functions
	MultiStepInverseFloater (const std::vector< Time > &rateTimes, std::vector< Real > fixedAccruals, const std::vector< Real > &floatingAccruals, const std::vector< Real > &fixedStrikes, const std::vector< Real > &fixedMultipliers, const std::vector< Real > &floatingSpreads, const std::vector< Time > &paymentTimes, bool payer=true)
Public Member Functions inherited from MultiProductMultiStep
	MultiProductMultiStep (std::vector< Time > rateTimes)
std::vector< Size >	suggestedNumeraires () const override
const EvolutionDescription &	evolution () const override
Public Member Functions inherited from MarketModelMultiProduct
virtual	~MarketModelMultiProduct ()=default
virtual std::vector< Size >	suggestedNumeraires () const =0
virtual const EvolutionDescription &	evolution () const =0
virtual std::vector< Time >	possibleCashFlowTimes () const =0
virtual Size	numberOfProducts () const =0
virtual Size	maxNumberOfCashFlowsPerProductPerStep () const =0
virtual void	reset ()=0
	during simulation put product at start of path More...
virtual bool	nextTimeStep (const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated)=0
	return value indicates whether path is finished, TRUE means done More...
virtual std::unique_ptr< MarketModelMultiProduct >	clone () const =0
	returns a newly-allocated copy of itself More...

MarketModelMultiProduct interface
std::vector< Real >	fixedAccruals_
std::vector< Real >	floatingAccruals_
std::vector< Real >	fixedStrikes_
std::vector< Real >	fixedMultipliers_
std::vector< Real >	floatingSpreads_
std::vector< Time >	paymentTimes_
Real	multiplier_
Size	lastIndex_
Size	currentIndex_
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 More...
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 More...
std::unique_ptr< MarketModelMultiProduct >	clone () const override
	returns a newly-allocated copy of itself More...

Additional Inherited Members
Protected Attributes inherited from MultiProductMultiStep
std::vector< Time >	rateTimes_
EvolutionDescription	evolution_

Detailed Description

Examples

MarketModels.cpp.

Definition at line 32 of file multistepinversefloater.hpp.

Constructor & Destructor Documentation

MultiStepInverseFloater()

MultiStepInverseFloater	(	const std::vector< Time > &	rateTimes,
		std::vector< Real >	fixedAccruals,
		const std::vector< Real > &	floatingAccruals,
		const std::vector< Real > &	fixedStrikes,
		const std::vector< Real > &	fixedMultipliers,
		const std::vector< Real > &	floatingSpreads,
		const std::vector< Time > &	paymentTimes,
		bool	payer = true
	)

Definition at line 27 of file multistepinversefloater.cpp.

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Member Function Documentation

possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 67 of file multistepinversefloater.hpp.

numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 71 of file multistepinversefloater.hpp.

maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 76 of file multistepinversefloater.hpp.

reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelMultiProduct.

Definition at line 80 of file multistepinversefloater.hpp.

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.

Definition at line 49 of file multistepinversefloater.cpp.

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clone()

std::unique_ptr< MarketModelMultiProduct > clone ( ) const

overridevirtual

returns a newly-allocated copy of itself

Implements MarketModelMultiProduct.

Definition at line 69 of file multistepinversefloater.cpp.

Member Data Documentation

fixedAccruals_

std::vector<Real> fixedAccruals_

private

Definition at line 54 of file multistepinversefloater.hpp.

floatingAccruals_

std::vector<Real> floatingAccruals_

private

Definition at line 54 of file multistepinversefloater.hpp.

fixedStrikes_

std::vector<Real> fixedStrikes_

private

Definition at line 54 of file multistepinversefloater.hpp.

fixedMultipliers_

std::vector<Real> fixedMultipliers_

private

Definition at line 54 of file multistepinversefloater.hpp.

floatingSpreads_

std::vector<Real> floatingSpreads_

private

Definition at line 54 of file multistepinversefloater.hpp.

paymentTimes_

std::vector<Time> paymentTimes_

private

Definition at line 55 of file multistepinversefloater.hpp.

multiplier_

Real multiplier_

private

Definition at line 57 of file multistepinversefloater.hpp.

lastIndex_

Size lastIndex_

private

Definition at line 58 of file multistepinversefloater.hpp.

currentIndex_

Size currentIndex_

private

Definition at line 60 of file multistepinversefloater.hpp.