#include <ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.hpp>
Inheritance diagram for MarketModelPathwiseMultiDeflatedCap:
Collaboration diagram for MarketModelPathwiseMultiDeflatedCap:
Public Member Functions | |
| MarketModelPathwiseMultiDeflatedCap (const std::vector< Time > &rateTimes, const std::vector< Real > &accruals, const std::vector< Time > &paymentTimes, Rate strike, std::vector< std::pair< Size, Size > > startsAndEnds) | |
| ~MarketModelPathwiseMultiDeflatedCap () override=default | |
| 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 |
| bool | alreadyDeflated () const override |
| void | reset () override |
| during simulation put product at start of path More... | |
| bool | nextTimeStep (const CurveState ¤tState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< MarketModelPathwiseMultiProduct::CashFlow > > &cashFlowsGenerated) override |
| return value indicates whether path is finished, TRUE means done More... | |
| std::unique_ptr< MarketModelPathwiseMultiProduct > | clone () const override |
| returns a newly-allocated copy of itself More... | |
| Public Member Functions inherited from MarketModelPathwiseMultiProduct | |
| 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 ¤tState, 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... | |
Private Attributes | |
| MarketModelPathwiseMultiDeflatedCaplet | underlyingCaplets_ |
| Size | numberRates_ |
| std::vector< std::pair< Size, Size > > | startsAndEnds_ |
| Size | currentIndex_ |
| std::vector< Size > | innerCashFlowSizes_ |
| std::vector< std::vector< MarketModelPathwiseMultiProduct::CashFlow > > | innerCashFlowsGenerated_ |
Detailed Description
MarketModelPathwiseMultiDeflatedCap to price several caps and get their derivatives simultaneously. Mainly useful for testing pathwise market vegas code.
Definition at line 148 of file pathwiseproductcaplet.hpp.
Constructor & Destructor Documentation
◆ MarketModelPathwiseMultiDeflatedCap()
◆ ~MarketModelPathwiseMultiDeflatedCap()
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overridedefault |
Member Function Documentation
◆ suggestedNumeraires()
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 307 of file pathwiseproductcaplet.cpp.
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◆ evolution()
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 313 of file pathwiseproductcaplet.cpp.
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◆ possibleCashFlowTimes()
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 318 of file pathwiseproductcaplet.cpp.
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◆ numberOfProducts()
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 323 of file pathwiseproductcaplet.cpp.
◆ maxNumberOfCashFlowsPerProductPerStep()
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 327 of file pathwiseproductcaplet.cpp.
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◆ alreadyDeflated()
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 333 of file pathwiseproductcaplet.cpp.
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◆ reset()
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overridevirtual |
during simulation put product at start of path
Implements MarketModelPathwiseMultiProduct.
Definition at line 339 of file pathwiseproductcaplet.cpp.
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◆ nextTimeStep()
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overridevirtual |
return value indicates whether path is finished, TRUE means done
Implements MarketModelPathwiseMultiProduct.
Definition at line 346 of file pathwiseproductcaplet.cpp.
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◆ clone()
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overridevirtual |
returns a newly-allocated copy of itself
Implements MarketModelPathwiseMultiProduct.
Definition at line 376 of file pathwiseproductcaplet.cpp.
Member Data Documentation
◆ underlyingCaplets_
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private |
Definition at line 184 of file pathwiseproductcaplet.hpp.
◆ numberRates_
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private |
Definition at line 186 of file pathwiseproductcaplet.hpp.
◆ startsAndEnds_
Definition at line 188 of file pathwiseproductcaplet.hpp.
◆ currentIndex_
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private |
Definition at line 191 of file pathwiseproductcaplet.hpp.
◆ innerCashFlowSizes_
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private |
Definition at line 192 of file pathwiseproductcaplet.hpp.
◆ innerCashFlowsGenerated_
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private |
Definition at line 193 of file pathwiseproductcaplet.hpp.