#include <multistepswaption.hpp>
Inheritance diagram for MultiStepSwaption:
Collaboration diagram for MultiStepSwaption:
Public Member Functions | |
| MultiStepSwaption (const std::vector< Time > &rateTimes, Size startIndex, Size endIndex, ext::shared_ptr< StrikedTypePayoff > &) | |
| 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 ¤tState, 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 | |
| Size | startIndex_ |
| Size | endIndex_ |
| ext::shared_ptr< StrikedTypePayoff > | payoff_ |
| std::vector< Time > | paymentTimes_ |
| 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 ¤tState, 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
Price a swaption associated to a contiguous subset of rates. Useful only for testing purposes. Steps through all rate times up to start of swap.
Definition at line 36 of file multistepswaption.hpp.
Constructor & Destructor Documentation
◆ MultiStepSwaption()
| MultiStepSwaption | ( | const std::vector< Time > & | rateTimes, |
| Size | startIndex, | ||
| Size | endIndex, | ||
| ext::shared_ptr< StrikedTypePayoff > & | payOff | ||
| ) |
Definition at line 28 of file multistepswaption.cpp.
Member Function Documentation
◆ possibleCashFlowTimes()
|
overridevirtual |
Implements MarketModelMultiProduct.
Definition at line 67 of file multistepswaption.hpp.
◆ numberOfProducts()
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overridevirtual |
Implements MarketModelMultiProduct.
Definition at line 72 of file multistepswaption.hpp.
◆ maxNumberOfCashFlowsPerProductPerStep()
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overridevirtual |
Implements MarketModelMultiProduct.
Definition at line 77 of file multistepswaption.hpp.
◆ reset()
|
overridevirtual |
during simulation put product at start of path
Implements MarketModelMultiProduct.
Definition at line 81 of file multistepswaption.hpp.
◆ nextTimeStep()
|
overridevirtual |
return value indicates whether path is finished, TRUE means done
Implements MarketModelMultiProduct.
Definition at line 42 of file multistepswaption.cpp.
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◆ clone()
|
overridevirtual |
returns a newly-allocated copy of itself
Implements MarketModelMultiProduct.
Definition at line 72 of file multistepswaption.cpp.
Member Data Documentation
◆ startIndex_
|
private |
Definition at line 56 of file multistepswaption.hpp.
◆ endIndex_
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private |
Definition at line 57 of file multistepswaption.hpp.
◆ payoff_
|
private |
Definition at line 58 of file multistepswaption.hpp.
◆ paymentTimes_
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private |
Definition at line 59 of file multistepswaption.hpp.
◆ currentIndex_
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private |
Definition at line 61 of file multistepswaption.hpp.