OneStepCoterminalSwaps Class Reference

#include <onestepcoterminalswaps.hpp>

Inheritance diagram for OneStepCoterminalSwaps:

Collaboration diagram for OneStepCoterminalSwaps:

Public Member Functions
	OneStepCoterminalSwaps (const std::vector< Time > &rateTimes, std::vector< Real > fixedAccruals, std::vector< Real > floatingAccruals, const std::vector< Time > &paymentTimes, Real fixedRate)
Public Member Functions inherited from MultiProductOneStep
	MultiProductOneStep (std::vector< Time > rateTimes)
const EvolutionDescription &	evolution () const override
std::vector< Size >	suggestedNumeraires () 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< Time >	paymentTimes_
Real	fixedRate_
Size	lastIndex_
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 MultiProductOneStep
std::vector< Time >	rateTimes_
EvolutionDescription	evolution_

Detailed Description

Definition at line 28 of file onestepcoterminalswaps.hpp.

Constructor & Destructor Documentation

OneStepCoterminalSwaps()

OneStepCoterminalSwaps	(	const std::vector< Time > &	rateTimes,
		std::vector< Real >	fixedAccruals,
		std::vector< Real >	floatingAccruals,
		const std::vector< Time > &	paymentTimes,
		Real	fixedRate
	)

Definition at line 27 of file onestepcoterminalswaps.cpp.

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Member Function Documentation

possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 56 of file onestepcoterminalswaps.hpp.

numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 60 of file onestepcoterminalswaps.hpp.

maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 65 of file onestepcoterminalswaps.hpp.

reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelMultiProduct.

Definition at line 69 of file onestepcoterminalswaps.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 40 of file onestepcoterminalswaps.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 67 of file onestepcoterminalswaps.cpp.

Member Data Documentation

fixedAccruals_

std::vector<Real> fixedAccruals_

private

Definition at line 47 of file onestepcoterminalswaps.hpp.

floatingAccruals_

std::vector<Real> floatingAccruals_

private

Definition at line 47 of file onestepcoterminalswaps.hpp.

paymentTimes_

std::vector<Time> paymentTimes_

private

Definition at line 48 of file onestepcoterminalswaps.hpp.

fixedRate_

Real fixedRate_

private

Definition at line 49 of file onestepcoterminalswaps.hpp.

lastIndex_

Size lastIndex_

private

Definition at line 50 of file onestepcoterminalswaps.hpp.