MultiStepTarn Class Reference

#include <multisteptarn.hpp>

Inheritance diagram for MultiStepTarn:

Collaboration diagram for MultiStepTarn:

Public Member Functions
	MultiStepTarn (const std::vector< Time > &rateTimes, const std::vector< Real > &accruals, const std::vector< Real > &accrualsFloating, const std::vector< Time > &paymentTimes, const std::vector< Time > &paymentTimesFloating, Real totalCoupon, const std::vector< Real > &strikes, std::vector< Real > multipliers, const std::vector< Real > &floatingSpreads)
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 &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< Real >	accruals_
std::vector< Real >	accrualsFloating_
std::vector< Time >	paymentTimes_
std::vector< Time >	paymentTimesFloating_
std::vector< Time >	allPaymentTimes_
Real	totalCoupon_
std::vector< Real >	strikes_
std::vector< Real >	multipliers_
std::vector< Real >	floatingSpreads_
Size	lastIndex_
Real	couponPaid_
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 &currentState, 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

Definition at line 27 of file multisteptarn.hpp.

Constructor & Destructor Documentation

MultiStepTarn()

MultiStepTarn	(	const std::vector< Time > &	rateTimes,
		const std::vector< Real > &	accruals,
		const std::vector< Real > &	accrualsFloating,
		const std::vector< Time > &	paymentTimes,
		const std::vector< Time > &	paymentTimesFloating,
		Real	totalCoupon,
		const std::vector< Real > &	strikes,
		std::vector< Real >	multipliers,
		const std::vector< Real > &	floatingSpreads
	)

Definition at line 27 of file multisteptarn.cpp.

Member Function Documentation

possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 94 of file multisteptarn.cpp.

numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 98 of file multisteptarn.cpp.

maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 103 of file multisteptarn.cpp.

reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelMultiProduct.

Definition at line 107 of file multisteptarn.cpp.

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 53 of file multisteptarn.cpp.

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clone()

std::unique_ptr< MarketModelMultiProduct > clone ( ) const

overridevirtual

returns a newly-allocated copy of itself

Implements MarketModelMultiProduct.

Definition at line 87 of file multisteptarn.cpp.

Member Data Documentation

accruals_

std::vector<Real> accruals_

private

Definition at line 50 of file multisteptarn.hpp.

accrualsFloating_

std::vector<Real> accrualsFloating_

private

Definition at line 51 of file multisteptarn.hpp.

paymentTimes_

std::vector<Time> paymentTimes_

private

Definition at line 52 of file multisteptarn.hpp.

paymentTimesFloating_

std::vector<Time> paymentTimesFloating_

private

Definition at line 53 of file multisteptarn.hpp.

allPaymentTimes_

std::vector<Time> allPaymentTimes_

private

Definition at line 54 of file multisteptarn.hpp.

totalCoupon_

Real totalCoupon_

private

Definition at line 55 of file multisteptarn.hpp.

strikes_

std::vector<Real> strikes_

private

Definition at line 56 of file multisteptarn.hpp.

multipliers_

std::vector<Real> multipliers_

private

Definition at line 57 of file multisteptarn.hpp.

floatingSpreads_

std::vector<Real> floatingSpreads_

private

Definition at line 58 of file multisteptarn.hpp.

lastIndex_

Size lastIndex_

private

Definition at line 59 of file multisteptarn.hpp.

couponPaid_

Real couponPaid_

private

Definition at line 62 of file multisteptarn.hpp.

currentIndex_

Size currentIndex_

private

Definition at line 63 of file multisteptarn.hpp.