MultiStepSwap Class Reference

#include <multistepswap.hpp>

Inheritance diagram for MultiStepSwap:

Collaboration diagram for MultiStepSwap:

Public Member Functions
	MultiStepSwap (const std::vector< Time > &rateTimes, std::vector< Real > fixedAccruals, std::vector< Real > floatingAccruals, const std::vector< Time > &paymentTimes, Rate fixedRate, bool payer=true)
Public Member Functions inherited from MultiProductMultiStep
	MultiProductMultiStep (std::vector< Time > rateTimes)
std::vector< Size >	suggestedNumeraires () const override
const EvolutionDescription &	evolution () const override
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
std::vector< Real >	fixedAccruals_
std::vector< Real >	floatingAccruals_
std::vector< Time >	paymentTimes_
Rate	fixedRate_
Real	multiplier_
Size	lastIndex_
Size	currentIndex_
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...

Additional Inherited Members
Protected Attributes inherited from MultiProductMultiStep
std::vector< Time >	rateTimes_
EvolutionDescription	evolution_

Detailed Description

Examples

MarketModels.cpp.

Definition at line 29 of file multistepswap.hpp.

Constructor & Destructor Documentation

MultiStepSwap()

MultiStepSwap	(	const std::vector< Time > &	rateTimes,
		std::vector< Real >	fixedAccruals,
		std::vector< Real >	floatingAccruals,
		const std::vector< Time > &	paymentTimes,
		Rate	fixedRate,
		bool	payer = true
	)

Definition at line 27 of file multistepswap.cpp.

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Member Function Documentation

possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 62 of file multistepswap.hpp.

numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 66 of file multistepswap.hpp.

maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 71 of file multistepswap.hpp.

reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelMultiProduct.

Definition at line 75 of file multistepswap.hpp.

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 39 of file multistepswap.cpp.

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clone()

std::unique_ptr< MarketModelMultiProduct > clone ( ) const

overridevirtual

returns a newly-allocated copy of itself

Implements MarketModelMultiProduct.

Definition at line 63 of file multistepswap.cpp.

Member Data Documentation

fixedAccruals_

std::vector<Real> fixedAccruals_

private

Definition at line 49 of file multistepswap.hpp.

floatingAccruals_

std::vector<Real> floatingAccruals_

private

Definition at line 49 of file multistepswap.hpp.

paymentTimes_

std::vector<Time> paymentTimes_

private

Definition at line 50 of file multistepswap.hpp.

fixedRate_

Rate fixedRate_

private

Definition at line 51 of file multistepswap.hpp.

multiplier_

Real multiplier_

private

Definition at line 52 of file multistepswap.hpp.

lastIndex_

Size lastIndex_

private

Definition at line 53 of file multistepswap.hpp.

currentIndex_

Size currentIndex_

private

Definition at line 55 of file multistepswap.hpp.