Multiple-step market-model product. More...

#include <multiproductmultistep.hpp>

Inheritance diagram for MultiProductMultiStep:

Collaboration diagram for MultiProductMultiStep:

Public Member Functions
	MultiProductMultiStep (std::vector< Time > rateTimes)

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< Time >	rateTimes_

EvolutionDescription	evolution_

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

const EvolutionDescription &	evolution () const override

Detailed Description

Multiple-step market-model product.

This is the abstract base class that encapsulates the notion of a MarketModelMultiProduct which can be evaluated in a more than one step (aka Rebonato's long jump).

Definition at line 34 of file multiproductmultistep.hpp.

Constructor & Destructor Documentation

◆ MultiProductMultiStep()

MultiProductMultiStep ( std::vector< Time > rateTimes )

explicit

Definition at line 26 of file multiproductmultistep.cpp.

Member Function Documentation

◆ suggestedNumeraires()

std::vector< Size > suggestedNumeraires ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 46 of file multiproductmultistep.cpp.

◆ evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Reimplemented in ExerciseAdapter.

Definition at line 42 of file multiproductmultistep.cpp.

Member Data Documentation

◆ rateTimes_

std::vector<Time> rateTimes_

protected

Definition at line 43 of file multiproductmultistep.hpp.

◆ evolution_

EvolutionDescription evolution_