#include <discretizedcallablefixedratebond.hpp>

Inheritance diagram for DiscretizedCallableFixedRateBond:

Collaboration diagram for DiscretizedCallableFixedRateBond:

Public Member Functions
	DiscretizedCallableFixedRateBond (const CallableBond::arguments &, const Handle< YieldTermStructure > &termStructure)

void	reset (Size size) override

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

Public Member Functions inherited from DiscretizedAsset
	DiscretizedAsset ()

virtual	~DiscretizedAsset ()=default

Time	time () const

Time &	time ()

const Array &	values () const

Array &	values ()

const ext::shared_ptr< Lattice > &	method () const

void	initialize (const ext::shared_ptr< Lattice > &, Time t)

void	rollback (Time to)

void	partialRollback (Time to)

Real	presentValue ()

void	preAdjustValues ()

void	postAdjustValues ()

void	adjustValues ()

Protected Member Functions
void	preAdjustValuesImpl () override

void	postAdjustValuesImpl () override

Protected Member Functions inherited from DiscretizedAsset
bool	isOnTime (Time t) const

Private Member Functions
void	applyCallability (Size i)

void	addCoupon (Size i)

Private Attributes
CallableBond::arguments	arguments_

Time	redemptionTime_

std::vector< Time >	couponTimes_

std::vector< CouponAdjustment >	couponAdjustments_

std::vector< Time >	callabilityTimes_

std::vector< Real >	adjustedCallabilityPrices_

Additional Inherited Members
Protected Types inherited from DiscretizedAsset
enum class	CouponAdjustment { pre , post }

Protected Attributes inherited from DiscretizedAsset
Time	time_

Time	latestPreAdjustment_

Time	latestPostAdjustment_

Array	values_

Detailed Description

Definition at line 33 of file discretizedcallablefixedratebond.hpp.

Constructor & Destructor Documentation

◆ DiscretizedCallableFixedRateBond()

DiscretizedCallableFixedRateBond	(	const CallableBond::arguments &	args,
		const Handle< YieldTermStructure > &	termStructure
	)

Definition at line 35 of file discretizedcallablefixedratebond.cpp.

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Member Function Documentation

◆ reset()

void reset ( Size size )

overridevirtual

This method should initialize the asset values to an Array of the given size and with values depending on the particular asset.

Implements DiscretizedAsset.

Definition at line 103 of file discretizedcallablefixedratebond.cpp.

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◆ mandatoryTimes()

std::vector< Time > mandatoryTimes ( ) const

overridevirtual

This method returns the times at which the numerical method should stop while rolling back the asset. Typical examples include payment times, exercise times and such.