QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <parametricexerciseadapter.hpp>
Public Member Functions | |
ParametricExerciseAdapter (const MarketModelParametricExercise &exercise, std::vector< std::vector< Real > > parameters) | |
std::vector< Time > | exerciseTimes () const override |
std::vector< Time > | relevantTimes () const override |
void | reset () override |
void | nextStep (const CurveState ¤tState) override |
bool | exercise (const CurveState ¤tState) const override |
std::unique_ptr< ExerciseStrategy< CurveState > > | clone () const override |
Public Member Functions inherited from ExerciseStrategy< CurveState > | |
virtual | ~ExerciseStrategy ()=default |
virtual std::vector< Time > | exerciseTimes () const=0 |
virtual std::vector< Time > | relevantTimes () const=0 |
virtual void | reset ()=0 |
virtual bool | exercise (const CurveState ¤tState) const=0 |
virtual void | nextStep (const CurveState ¤tState)=0 |
virtual std::unique_ptr< ExerciseStrategy< CurveState > > | clone () const=0 |
Private Attributes | |
Clone< MarketModelParametricExercise > | exercise_ |
std::vector< std::vector< Real > > | parameters_ |
std::vector< Time > | exerciseTimes_ |
Size | currentStep_ = 0 |
Size | currentExercise_ = 0 |
std::valarray< bool > | isExerciseTime_ |
std::vector< Size > | numberOfVariables_ |
std::vector< Real > | variables_ |
Definition at line 33 of file parametricexerciseadapter.hpp.
ParametricExerciseAdapter | ( | const MarketModelParametricExercise & | exercise, |
std::vector< std::vector< Real > > | parameters | ||
) |
Definition at line 27 of file parametricexerciseadapter.cpp.
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overridevirtual |
Implements ExerciseStrategy< CurveState >.
Definition at line 39 of file parametricexerciseadapter.cpp.
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overridevirtual |
Implements ExerciseStrategy< CurveState >.
Definition at line 43 of file parametricexerciseadapter.cpp.
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overridevirtual |
Implements ExerciseStrategy< CurveState >.
Definition at line 47 of file parametricexerciseadapter.cpp.
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overridevirtual |
Implements ExerciseStrategy< CurveState >.
Definition at line 52 of file parametricexerciseadapter.cpp.
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overridevirtual |
Implements ExerciseStrategy< CurveState >.
Definition at line 59 of file parametricexerciseadapter.cpp.
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overridevirtual |
Implements ExerciseStrategy< CurveState >.
Definition at line 67 of file parametricexerciseadapter.cpp.
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private |
Definition at line 44 of file parametricexerciseadapter.hpp.
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private |
Definition at line 45 of file parametricexerciseadapter.hpp.
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private |
Definition at line 46 of file parametricexerciseadapter.hpp.
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private |
Definition at line 47 of file parametricexerciseadapter.hpp.
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private |
Definition at line 47 of file parametricexerciseadapter.hpp.
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private |
Definition at line 48 of file parametricexerciseadapter.hpp.
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private |
Definition at line 49 of file parametricexerciseadapter.hpp.
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mutableprivate |
Definition at line 50 of file parametricexerciseadapter.hpp.