MarketModelPathwiseMultiDeflatedCaplet Class Reference

#include <ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.hpp>

Inheritance diagram for MarketModelPathwiseMultiDeflatedCaplet:

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Public Member Functions
	MarketModelPathwiseMultiDeflatedCaplet (const std::vector< Time > &rateTimes, const std::vector< Real > &accruals, const std::vector< Time > &paymentTimes, const std::vector< Rate > &strikes)
	MarketModelPathwiseMultiDeflatedCaplet (const std::vector< Time > &rateTimes, const std::vector< Real > &accruals, const std::vector< Time > &paymentTimes, Rate strike)
	~MarketModelPathwiseMultiDeflatedCaplet () override=default
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
bool	alreadyDeflated () 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< 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...
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 &currentState, 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...

Private Attributes
std::vector< Real >	rateTimes_
std::vector< Real >	accruals_
std::vector< Time >	paymentTimes_
std::vector< Rate >	strikes_
Size	numberRates_
Size	currentIndex_
EvolutionDescription	evolution_

Detailed Description

Definition at line 91 of file pathwiseproductcaplet.hpp.

Constructor & Destructor Documentation

MarketModelPathwiseMultiDeflatedCaplet() [1/2]

MarketModelPathwiseMultiDeflatedCaplet	(	const std::vector< Time > &	rateTimes,
		const std::vector< Real > &	accruals,
		const std::vector< Time > &	paymentTimes,
		const std::vector< Rate > &	strikes
	)

Definition at line 144 of file pathwiseproductcaplet.cpp.

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MarketModelPathwiseMultiDeflatedCaplet() [2/2]

MarketModelPathwiseMultiDeflatedCaplet	(	const std::vector< Time > &	rateTimes,
		const std::vector< Real > &	accruals,
		const std::vector< Time > &	paymentTimes,
		Rate	strike
	)

Definition at line 176 of file pathwiseproductcaplet.cpp.

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~MarketModelPathwiseMultiDeflatedCaplet()

~MarketModelPathwiseMultiDeflatedCaplet ( )

overridedefault

Member Function Documentation

suggestedNumeraires()

std::vector< Size > suggestedNumeraires ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 247 of file pathwiseproductcaplet.cpp.

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evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 256 of file pathwiseproductcaplet.cpp.

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possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 261 of file pathwiseproductcaplet.cpp.

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numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 266 of file pathwiseproductcaplet.cpp.

maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 271 of file pathwiseproductcaplet.cpp.

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alreadyDeflated()

bool alreadyDeflated ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 138 of file pathwiseproductcaplet.cpp.

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reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelPathwiseMultiProduct.

Definition at line 277 of file pathwiseproductcaplet.cpp.

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nextTimeStep()

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

overridevirtual

return value indicates whether path is finished, TRUE means done

Implements MarketModelPathwiseMultiProduct.

Definition at line 209 of file pathwiseproductcaplet.cpp.

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clone()

std::unique_ptr< MarketModelPathwiseMultiProduct > clone ( ) const

overridevirtual

returns a newly-allocated copy of itself

Implements MarketModelPathwiseMultiProduct.

Definition at line 242 of file pathwiseproductcaplet.cpp.

Member Data Documentation

rateTimes_

std::vector<Real> rateTimes_

private

Definition at line 132 of file pathwiseproductcaplet.hpp.

accruals_

std::vector<Real> accruals_

private

Definition at line 133 of file pathwiseproductcaplet.hpp.

paymentTimes_

std::vector<Time> paymentTimes_

private

Definition at line 134 of file pathwiseproductcaplet.hpp.

strikes_

std::vector<Rate> strikes_

private

Definition at line 135 of file pathwiseproductcaplet.hpp.

numberRates_

Size numberRates_

private

Definition at line 136 of file pathwiseproductcaplet.hpp.

currentIndex_

Size currentIndex_

private

Definition at line 138 of file pathwiseproductcaplet.hpp.

evolution_

EvolutionDescription evolution_

private

Definition at line 140 of file pathwiseproductcaplet.hpp.