MarketModelCashRebate Class Reference

#include <ql/models/marketmodels/products/multistep/cashrebate.hpp>

Inheritance diagram for MarketModelCashRebate:

Collaboration diagram for MarketModelCashRebate:

Public Member Functions
	MarketModelCashRebate (EvolutionDescription evolution, const std::vector< Time > &paymentTimes, Matrix amounts, Size numberOfProducts)
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...

MarketModelMultiProduct interface
EvolutionDescription	evolution_
std::vector< Time >	paymentTimes_
Matrix	amounts_
Size	numberOfProducts_
Size	currentIndex_
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 &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...

Detailed Description

Class to model receipt of a fixed cash amount once. Product terminates immediately. Mainly useful as rebate received when another product is cancelled.

Definition at line 36 of file cashrebate.hpp.

Constructor & Destructor Documentation

MarketModelCashRebate()

MarketModelCashRebate	(	EvolutionDescription	evolution,
		const std::vector< Time > &	paymentTimes,
		Matrix	amounts,
		Size	numberOfProducts
	)

Definition at line 26 of file cashrebate.cpp.

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Member Function Documentation

suggestedNumeraires()

std::vector< Size > suggestedNumeraires ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 69 of file cashrebate.cpp.

evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 74 of file cashrebate.cpp.

possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 48 of file cashrebate.cpp.

numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 53 of file cashrebate.cpp.

maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 58 of file cashrebate.cpp.

reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelMultiProduct.

Definition at line 63 of file cashrebate.cpp.

nextTimeStep()

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

overridevirtual

return value indicates whether path is finished, TRUE means done

Implements MarketModelMultiProduct.

Definition at line 80 of file cashrebate.cpp.

clone()

std::unique_ptr< MarketModelMultiProduct > clone ( ) const

overridevirtual

returns a newly-allocated copy of itself

Implements MarketModelMultiProduct.

Definition at line 97 of file cashrebate.cpp.

Member Data Documentation

evolution_

EvolutionDescription evolution_

private

Definition at line 57 of file cashrebate.hpp.

paymentTimes_

std::vector<Time> paymentTimes_

private

Definition at line 58 of file cashrebate.hpp.

amounts_

Matrix amounts_

private

Definition at line 59 of file cashrebate.hpp.

numberOfProducts_

Size numberOfProducts_

private

Definition at line 60 of file cashrebate.hpp.

currentIndex_

Size currentIndex_

private

Definition at line 62 of file cashrebate.hpp.