DiscretizedCapFloor Class Reference

#include <discretizedcapfloor.hpp>

Inheritance diagram for DiscretizedCapFloor:

Collaboration diagram for DiscretizedCapFloor:

Public Member Functions
	DiscretizedCapFloor (const CapFloor::arguments &args, const Date &referenceDate, const DayCounter &dayCounter)
void	reset (Size size) override
std::vector< Time >	mandatoryTimes () const override
Public Member Functions inherited from DiscretizedAsset
	DiscretizedAsset ()
virtual	~DiscretizedAsset ()=default
Time	time () const
Time &	time ()
const Array &	values () const
Array &	values ()
const ext::shared_ptr< Lattice > &	method () const
void	initialize (const ext::shared_ptr< Lattice > &, Time t)
void	rollback (Time to)
void	partialRollback (Time to)
Real	presentValue ()
void	preAdjustValues ()
void	postAdjustValues ()
void	adjustValues ()

Protected Member Functions
void	preAdjustValuesImpl () override
void	postAdjustValuesImpl () override
Protected Member Functions inherited from DiscretizedAsset
bool	isOnTime (Time t) const

Private Attributes
CapFloor::arguments	arguments_
std::vector< Time >	startTimes_
std::vector< Time >	endTimes_

Additional Inherited Members
Protected Types inherited from DiscretizedAsset
enum class	CouponAdjustment { pre , post }
Protected Attributes inherited from DiscretizedAsset
Time	time_
Time	latestPreAdjustment_
Time	latestPostAdjustment_
Array	values_

Detailed Description

Definition at line 33 of file discretizedcapfloor.hpp.

Constructor & Destructor Documentation

DiscretizedCapFloor()

DiscretizedCapFloor	(	const CapFloor::arguments &	args,
		const Date &	referenceDate,
		const DayCounter &	dayCounter
	)

Definition at line 25 of file discretizedcapfloor.cpp.

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Member Function Documentation

reset()

void reset ( Size  size )

overridevirtual

This method should initialize the asset values to an Array of the given size and with values depending on the particular asset.

Implements DiscretizedAsset.

Definition at line 41 of file discretizedcapfloor.cpp.

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mandatoryTimes()

std::vector< Time > mandatoryTimes ( ) const

overridevirtual

This method returns the times at which the numerical method should stop while rolling back the asset. Typical examples include payment times, exercise times and such.

Note

The returned values are not guaranteed to be sorted.

Implements DiscretizedAsset.

Definition at line 46 of file discretizedcapfloor.cpp.

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preAdjustValuesImpl()

void preAdjustValuesImpl ( )

overrideprotectedvirtual

This method performs the actual pre-adjustment

Reimplemented from DiscretizedAsset.

Definition at line 53 of file discretizedcapfloor.cpp.

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postAdjustValuesImpl()

void postAdjustValuesImpl ( )

overrideprotectedvirtual

This method performs the actual post-adjustment

Reimplemented from DiscretizedAsset.

Definition at line 88 of file discretizedcapfloor.cpp.

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Member Data Documentation

arguments_

CapFloor::arguments arguments_

private

Definition at line 46 of file discretizedcapfloor.hpp.

startTimes_

std::vector<Time> startTimes_

private

Definition at line 47 of file discretizedcapfloor.hpp.

endTimes_

std::vector<Time> endTimes_

private

Definition at line 48 of file discretizedcapfloor.hpp.