QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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#include <ql/models/marketmodels/products/pathwise/pathwiseproductcallspecified.hpp>
Public Member Functions | |
CallSpecifiedPathwiseMultiProduct (const Clone< MarketModelPathwiseMultiProduct > &underlying, const Clone< ExerciseStrategy< CurveState > > &, Clone< MarketModelPathwiseMultiProduct > rebate=Clone< MarketModelPathwiseMultiProduct >()) | |
Public Member Functions inherited from MarketModelPathwiseMultiProduct | |
virtual | ~MarketModelPathwiseMultiProduct ()=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 bool | alreadyDeflated () const =0 |
virtual void | reset ()=0 |
during simulation put product at start of path More... | |
virtual bool | nextTimeStep (const CurveState ¤tState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< MarketModelPathwiseMultiProduct::CashFlow > > &cashFlowsGenerated)=0 |
return value indicates whether path is finished, TRUE means done More... | |
virtual std::unique_ptr< MarketModelPathwiseMultiProduct > | clone () const =0 |
returns a newly-allocated copy of itself More... | |
MarketModelPathwiseMultiProduct interface | |
Clone< MarketModelPathwiseMultiProduct > | underlying_ |
Clone< ExerciseStrategy< CurveState > > | strategy_ |
Clone< MarketModelPathwiseMultiProduct > | rebate_ |
EvolutionDescription | evolution_ |
std::vector< std::valarray< bool > > | isPresent_ |
std::vector< Time > | cashFlowTimes_ |
Size | rebateOffset_ = 0UL |
bool | wasCalled_ = false |
std::vector< Size > | dummyCashFlowsThisStep_ |
std::vector< std::vector< CashFlow > > | dummyCashFlowsGenerated_ |
Size | currentIndex_ = 0UL |
bool | callable_ = true |
std::vector< Size > | suggestedNumeraires () const override |
const EvolutionDescription & | evolution () const override |
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 ¤tState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< MarketModelPathwiseMultiProduct::CashFlow > > &cashFlowsGenerated) override |
return value indicates whether path is finished, TRUE means done More... | |
std::unique_ptr< MarketModelPathwiseMultiProduct > | clone () const override |
returns a newly-allocated copy of itself More... | |
bool | alreadyDeflated () const override |
const MarketModelPathwiseMultiProduct & | underlying () const |
const ExerciseStrategy< CurveState > & | strategy () const |
const MarketModelPathwiseMultiProduct & | rebate () const |
void | enableCallability () |
void | disableCallability () |
Definition at line 39 of file pathwiseproductcallspecified.hpp.
CallSpecifiedPathwiseMultiProduct | ( | const Clone< MarketModelPathwiseMultiProduct > & | underlying, |
const Clone< ExerciseStrategy< CurveState > > & | strategy, | ||
Clone< MarketModelPathwiseMultiProduct > | rebate = Clone<MarketModelPathwiseMultiProduct>() |
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) |
Definition at line 28 of file pathwiseproductcallspecified.cpp.
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 86 of file pathwiseproductcallspecified.cpp.
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 90 of file pathwiseproductcallspecified.cpp.
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 94 of file pathwiseproductcallspecified.cpp.
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 98 of file pathwiseproductcallspecified.cpp.
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 102 of file pathwiseproductcallspecified.cpp.
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overridevirtual |
during simulation put product at start of path
Implements MarketModelPathwiseMultiProduct.
Definition at line 107 of file pathwiseproductcallspecified.cpp.
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overridevirtual |
return value indicates whether path is finished, TRUE means done
Implements MarketModelPathwiseMultiProduct.
Definition at line 116 of file pathwiseproductcallspecified.cpp.
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overridevirtual |
returns a newly-allocated copy of itself
Implements MarketModelPathwiseMultiProduct.
Definition at line 157 of file pathwiseproductcallspecified.cpp.
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 82 of file pathwiseproductcallspecified.cpp.
const MarketModelPathwiseMultiProduct & underlying | ( | ) | const |
Definition at line 161 of file pathwiseproductcallspecified.cpp.
const ExerciseStrategy< CurveState > & strategy | ( | ) | const |
Definition at line 165 of file pathwiseproductcallspecified.cpp.
const MarketModelPathwiseMultiProduct & rebate | ( | ) | const |
Definition at line 169 of file pathwiseproductcallspecified.cpp.
void enableCallability | ( | ) |
Definition at line 173 of file pathwiseproductcallspecified.cpp.
void disableCallability | ( | ) |
Definition at line 175 of file pathwiseproductcallspecified.cpp.
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private |
Definition at line 71 of file pathwiseproductcallspecified.hpp.
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Definition at line 72 of file pathwiseproductcallspecified.hpp.
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Definition at line 73 of file pathwiseproductcallspecified.hpp.
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Definition at line 74 of file pathwiseproductcallspecified.hpp.
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Definition at line 75 of file pathwiseproductcallspecified.hpp.
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Definition at line 76 of file pathwiseproductcallspecified.hpp.
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Definition at line 77 of file pathwiseproductcallspecified.hpp.
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Definition at line 78 of file pathwiseproductcallspecified.hpp.
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Definition at line 79 of file pathwiseproductcallspecified.hpp.
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Definition at line 80 of file pathwiseproductcallspecified.hpp.
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Definition at line 81 of file pathwiseproductcallspecified.hpp.
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Definition at line 82 of file pathwiseproductcallspecified.hpp.