Composition of one or more market-model products. More...

#include <multiproductcomposite.hpp>

Inheritance diagram for MultiProductComposite:

Collaboration diagram for MultiProductComposite:

Public Member Functions
MarketModelMultiProduct interface
Size	numberOfProducts () const override

Size	maxNumberOfCashFlowsPerProductPerStep () const override

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...

Public Member Functions inherited from MarketModelComposite
	MarketModelComposite ()=default

const EvolutionDescription &	evolution () const override

std::vector< Size >	suggestedNumeraires () const override

std::vector< Time >	possibleCashFlowTimes () const override

void	reset () override
	during simulation put product at start of path More...

void	add (const Clone< MarketModelMultiProduct > &, Real multiplier=1.0)

void	subtract (const Clone< MarketModelMultiProduct > &, Real multiplier=1.0)

void	finalize ()

Size	size () const

const MarketModelMultiProduct &	item (Size i) const

MarketModelMultiProduct &	item (Size i)

Real	multiplier (Size i) const

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...

Additional Inherited Members
Protected Types inherited from MarketModelComposite
typedef std::vector< SubProduct >::iterator	iterator

typedef std::vector< SubProduct >::const_iterator	const_iterator

Protected Attributes inherited from MarketModelComposite
std::vector< SubProduct >	components_

std::vector< Time >	rateTimes_

std::vector< Time >	evolutionTimes_

EvolutionDescription	evolution_

bool	finalized_ = false

Size	currentIndex_

std::vector< Time >	cashflowTimes_

std::vector< std::vector< Time > >	allEvolutionTimes_

std::vector< std::valarray< bool > >	isInSubset_

Detailed Description

Composition of one or more market-model products.

Instances of this class build a multiple market-model product by composing two or more subproducts.

Precondition: All subproducts must have the same rate times.

Examples: MarketModels.cpp.

Definition at line 33 of file multiproductcomposite.hpp.

Member Function Documentation

◆ numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 24 of file multiproductcomposite.cpp.

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◆ maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 32 of file multiproductcomposite.cpp.

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◆ nextTimeStep()

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