MarketModelPathwiseMultiProduct Class Reference

market-model pathwise product More...

#include <ql/models/marketmodels/pathwisemultiproduct.hpp>

Inheritance diagram for MarketModelPathwiseMultiProduct:

Collaboration diagram for MarketModelPathwiseMultiProduct:

Classes
struct	CashFlow

Public Member Functions
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...

Detailed Description

market-model pathwise product

This is the abstract base class that encapsulates the notion of a product: it contains the information that would be in the termsheet of the product.

It's useful to have it be able to do several products simultaneously. The products would have to have the same underlying rate times of course. The class is therefore really encapsulating the notion of a multi-product.

For each time evolved to, it generates the cash flows associated to that time for the state of the yield curve. If one was doing a callable product then this would encompass the product and its exercise strategy.

This class differs from market-model multi-product in that it also returns the derivative of the pay-off with respect to each forward rate

Definition at line 53 of file pathwisemultiproduct.hpp.

Constructor & Destructor Documentation

~MarketModelPathwiseMultiProduct()

virtual ~MarketModelPathwiseMultiProduct ( )

virtualdefault

Member Function Documentation

suggestedNumeraires()

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

pure virtual

Implemented in CallSpecifiedPathwiseMultiProduct, MarketModelPathwiseMultiCaplet, MarketModelPathwiseMultiDeflatedCaplet, MarketModelPathwiseMultiDeflatedCap, MarketModelPathwiseCashRebate, MarketModelPathwiseInverseFloater, MarketModelPathwiseSwap, MarketModelPathwiseCoterminalSwaptionsDeflated, and MarketModelPathwiseCoterminalSwaptionsNumericalDeflated.

evolution()

virtual const EvolutionDescription & evolution ( ) const

pure virtual

Implemented in CallSpecifiedPathwiseMultiProduct, MarketModelPathwiseMultiCaplet, MarketModelPathwiseMultiDeflatedCaplet, MarketModelPathwiseMultiDeflatedCap, MarketModelPathwiseCashRebate, MarketModelPathwiseInverseFloater, MarketModelPathwiseSwap, MarketModelPathwiseCoterminalSwaptionsDeflated, and MarketModelPathwiseCoterminalSwaptionsNumericalDeflated.

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possibleCashFlowTimes()

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

pure virtual

Implemented in CallSpecifiedPathwiseMultiProduct, MarketModelPathwiseMultiCaplet, MarketModelPathwiseMultiDeflatedCaplet, MarketModelPathwiseMultiDeflatedCap, MarketModelPathwiseCashRebate, MarketModelPathwiseInverseFloater, MarketModelPathwiseSwap, MarketModelPathwiseCoterminalSwaptionsDeflated, and MarketModelPathwiseCoterminalSwaptionsNumericalDeflated.

numberOfProducts()

virtual Size numberOfProducts ( ) const

pure virtual

Implemented in CallSpecifiedPathwiseMultiProduct, MarketModelPathwiseMultiCaplet, MarketModelPathwiseMultiDeflatedCaplet, MarketModelPathwiseMultiDeflatedCap, MarketModelPathwiseCashRebate, MarketModelPathwiseInverseFloater, MarketModelPathwiseSwap, MarketModelPathwiseCoterminalSwaptionsDeflated, and MarketModelPathwiseCoterminalSwaptionsNumericalDeflated.

maxNumberOfCashFlowsPerProductPerStep()

virtual Size maxNumberOfCashFlowsPerProductPerStep ( ) const

pure virtual

Implemented in CallSpecifiedPathwiseMultiProduct, MarketModelPathwiseMultiCaplet, MarketModelPathwiseMultiDeflatedCaplet, MarketModelPathwiseMultiDeflatedCap, MarketModelPathwiseCashRebate, MarketModelPathwiseInverseFloater, MarketModelPathwiseSwap, MarketModelPathwiseCoterminalSwaptionsDeflated, and MarketModelPathwiseCoterminalSwaptionsNumericalDeflated.

alreadyDeflated()

virtual bool alreadyDeflated ( ) const

pure virtual

Implemented in CallSpecifiedPathwiseMultiProduct, MarketModelPathwiseMultiCaplet, MarketModelPathwiseMultiDeflatedCaplet, MarketModelPathwiseMultiDeflatedCap, MarketModelPathwiseCashRebate, MarketModelPathwiseInverseFloater, MarketModelPathwiseSwap, MarketModelPathwiseCoterminalSwaptionsDeflated, and MarketModelPathwiseCoterminalSwaptionsNumericalDeflated.

reset()

virtual void reset ( )

pure virtual

during simulation put product at start of path

Implemented in CallSpecifiedPathwiseMultiProduct, MarketModelPathwiseMultiCaplet, MarketModelPathwiseMultiDeflatedCaplet, MarketModelPathwiseMultiDeflatedCap, MarketModelPathwiseCashRebate, MarketModelPathwiseInverseFloater, MarketModelPathwiseSwap, MarketModelPathwiseCoterminalSwaptionsDeflated, and MarketModelPathwiseCoterminalSwaptionsNumericalDeflated.

nextTimeStep()

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

pure virtual

return value indicates whether path is finished, TRUE means done

Implemented in CallSpecifiedPathwiseMultiProduct, MarketModelPathwiseMultiCaplet, MarketModelPathwiseMultiDeflatedCaplet, MarketModelPathwiseMultiDeflatedCap, MarketModelPathwiseCashRebate, MarketModelPathwiseInverseFloater, MarketModelPathwiseSwap, MarketModelPathwiseCoterminalSwaptionsDeflated, and MarketModelPathwiseCoterminalSwaptionsNumericalDeflated.

clone()

virtual std::unique_ptr< MarketModelPathwiseMultiProduct > clone ( ) const

pure virtual

returns a newly-allocated copy of itself

Implemented in CallSpecifiedPathwiseMultiProduct, MarketModelPathwiseMultiCaplet, MarketModelPathwiseMultiDeflatedCaplet, MarketModelPathwiseMultiDeflatedCap, MarketModelPathwiseCashRebate, MarketModelPathwiseInverseFloater, MarketModelPathwiseSwap, MarketModelPathwiseCoterminalSwaptionsDeflated, and MarketModelPathwiseCoterminalSwaptionsNumericalDeflated.