AdaptedPathPayoff::ValuationData Class Reference

#include <ql/experimental/mcbasket/adaptedpathpayoff.hpp>

Collaboration diagram for AdaptedPathPayoff::ValuationData:

Public Member Functions
Size	numberOfTimes () const
Size	numberOfAssets () const
Real	getAssetValue (Size time, Size asset)
const Handle< YieldTermStructure > &	getYieldTermStructure (Size time)
void	setPayoffValue (Size time, Real value)
void	setExerciseData (Size time, Real exercise, Array &state)

Private Member Functions
	ValuationData (const Matrix &path, const std::vector< Handle< YieldTermStructure > > &forwardTermStructures, Array &payments, Array &exercises, std::vector< Array > &states)

Private Attributes
const Matrix &	path_
const std::vector< Handle< YieldTermStructure > > &	forwardTermStructures_
Array &	payments_
Array &	exercises_
std::vector< Array > &	states_
Size	maximumTimeRead_ = 0

Friends
class	AdaptedPathPayoff

Detailed Description

Definition at line 34 of file adaptedpathpayoff.hpp.

Constructor & Destructor Documentation

ValuationData()

ValuationData ( const Matrix &  path, const std::vector< Handle< YieldTermStructure > > &  forwardTermStructures, Array &  payments, Array &  exercises, std::vector< Array > &  states  )

private

Definition at line 28 of file adaptedpathpayoff.cpp.

Member Function Documentation

numberOfTimes()

Size numberOfTimes

(

)

const

Definition at line 39 of file adaptedpathpayoff.cpp.

numberOfAssets()

Size numberOfAssets

(

)

const

Definition at line 43 of file adaptedpathpayoff.cpp.

getAssetValue()

Real getAssetValue	(	Size	time,
		Size	asset
	)

Definition at line 47 of file adaptedpathpayoff.cpp.

getYieldTermStructure()

const Handle< YieldTermStructure > & getYieldTermStructure

(

Size

time

)

Definition at line 53 of file adaptedpathpayoff.cpp.

setPayoffValue()

void setPayoffValue	(	Size	time,
		Real	value
	)

Definition at line 59 of file adaptedpathpayoff.cpp.

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setExerciseData()

void setExerciseData	(	Size	time,
		Real	exercise,
		Array &	state
	)

Definition at line 70 of file adaptedpathpayoff.cpp.

Friends And Related Function Documentation

AdaptedPathPayoff

friend class AdaptedPathPayoff

friend

Definition at line 51 of file adaptedpathpayoff.hpp.

Member Data Documentation

path_

const Matrix& path_

private

Definition at line 59 of file adaptedpathpayoff.hpp.

forwardTermStructures_

const std::vector<Handle<YieldTermStructure> >& forwardTermStructures_

private

Definition at line 60 of file adaptedpathpayoff.hpp.

payments_

Array& payments_

private

Definition at line 62 of file adaptedpathpayoff.hpp.

exercises_

Array& exercises_

private

Definition at line 63 of file adaptedpathpayoff.hpp.

states_

std::vector<Array>& states_

private

Definition at line 64 of file adaptedpathpayoff.hpp.

maximumTimeRead_

Size maximumTimeRead_ = 0

private

Definition at line 66 of file adaptedpathpayoff.hpp.