ExerciseAdapter Class Reference

#include <ql/models/marketmodels/products/multistep/exerciseadapter.hpp>

Inheritance diagram for ExerciseAdapter:

Collaboration diagram for ExerciseAdapter:

Public Member Functions
	ExerciseAdapter (const Clone< MarketModelExerciseValue > &exercise, Size numberOfProducts=1)
MarketModelMultiProduct interface
std::vector< Time >	possibleCashFlowTimes () const override
Size	numberOfProducts () const override
const EvolutionDescription &	evolution () const override
Size	maxNumberOfCashFlowsPerProductPerStep () const override
void	reset () override
	during simulation put product at start of path More...
bool	nextTimeStep (const CurveState &, std::vector< Size > &, std::vector< std::vector< CashFlow > > &) 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...
Public Member Functions inherited from MultiProductMultiStep
	MultiProductMultiStep (std::vector< Time > rateTimes)
std::vector< Size >	suggestedNumeraires () 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 &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...

inspectors
Clone< MarketModelExerciseValue >	exercise_
Size	numberOfProducts_
std::valarray< bool >	isExerciseTime_
Size	currentIndex_
const MarketModelExerciseValue &	exerciseValue () const

Additional Inherited Members
Protected Attributes inherited from MultiProductMultiStep
std::vector< Time >	rateTimes_
EvolutionDescription	evolution_

Detailed Description

Examples

MarketModels.cpp.

Definition at line 30 of file exerciseadapter.hpp.

Constructor & Destructor Documentation

ExerciseAdapter()

ExerciseAdapter	(	const Clone< MarketModelExerciseValue > &	exercise,
		Size	numberOfProducts = 1
	)

Definition at line 24 of file exerciseadapter.cpp.

Member Function Documentation

possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 60 of file exerciseadapter.hpp.

numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 64 of file exerciseadapter.hpp.

evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Reimplemented from MultiProductMultiStep.

Definition at line 68 of file exerciseadapter.hpp.

maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 73 of file exerciseadapter.hpp.

reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelMultiProduct.

Definition at line 77 of file exerciseadapter.hpp.

nextTimeStep()

bool nextTimeStep ( const CurveState &  currentState, std::vector< Size > &  numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &  cashFlowsGenerated  )

overridevirtual

return value indicates whether path is finished, TRUE means done

Implements MarketModelMultiProduct.

Definition at line 31 of file exerciseadapter.cpp.

clone()

std::unique_ptr< MarketModelMultiProduct > clone ( ) const

overridevirtual

returns a newly-allocated copy of itself

Implements MarketModelMultiProduct.

Definition at line 53 of file exerciseadapter.cpp.

exerciseValue()

const MarketModelExerciseValue & exerciseValue

(

)

const

Definition at line 83 of file exerciseadapter.hpp.

Member Data Documentation

exercise_

Clone<MarketModelExerciseValue> exercise_

private

Definition at line 51 of file exerciseadapter.hpp.

numberOfProducts_

Size numberOfProducts_

private

Definition at line 52 of file exerciseadapter.hpp.

isExerciseTime_

std::valarray<bool> isExerciseTime_

private

Definition at line 53 of file exerciseadapter.hpp.

currentIndex_

Size currentIndex_

private

Definition at line 54 of file exerciseadapter.hpp.