QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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pathwisediscounter.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008 Mark Joshi
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20
21#ifndef quantlib_pathwise_market_model_discounter_hpp
22#define quantlib_pathwise_market_model_discounter_hpp
23
24#include <ql/types.hpp>
25#include <ql/math/matrix.hpp>
26#include <vector>
27
28namespace QuantLib {
29
30 class CurveState;
31 /*!
32 this class returns the number of units of the discretely compounding money
33 market account that 1 unit of cash at the payment can buy using the LIBOR
34 rates from current step.
35
36 It also returns the derivative of this number with respect to each of the
37 rates.
38
39 Discounting is purely based on the simulation LIBOR rates,
40 to get a discounting back to zero you need to multiply by
41 the discount factor of t_0.
42 */
44 public:
46 const std::vector<Time>& rateTimes);
47 void getFactors(const Matrix& LIBORRates, // LIBOR rate values for all steps
48 const Matrix& Discounts, // P(t_0, t_j) for j=0,...n for each step
49 Size currentStep,
50 std::vector<Real>& factors) const;
51 private:
56 std::vector<Real> taus_;
57
58 };
59
60}
61
62#endif
void getFactors(const Matrix &LIBORRates, const Matrix &Discounts, Size currentStep, std::vector< Real > &factors) const
Matrix used in linear algebra.
Definition: matrix.hpp:41
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
matrix used in linear algebra.
Definition: any.hpp:35
Custom types.