onestepcoinitialswaps.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 Giorgio Facchinetti
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
 
#ifndef quantlib_onestep_coinitialswaps_hpp
#define quantlib_onestep_coinitialswaps_hpp
 
#include <ql/models/marketmodels/products/multiproductonestep.hpp>
 
namespace QuantLib {
    class OneStepCoinitialSwaps : public MultiProductOneStep {
      public:
        OneStepCoinitialSwaps(const std::vector<Time>& rateTimes,
                              std::vector<Real> fixedAccruals,
                              std::vector<Real> floatingAccruals,
                              const std::vector<Time>& paymentTimes,
                              Real fixedRate);
 
        std::vector<Time> possibleCashFlowTimes() const override;
        Size numberOfProducts() const override;
        Size maxNumberOfCashFlowsPerProductPerStep() const override;
        void reset() override;
        bool nextTimeStep(const CurveState& currentState,
                          std::vector<Size>& numberCashFlowsThisStep,
                          std::vector<std::vector<CashFlow> >& cashFlowsGenerated) override;
        std::unique_ptr<MarketModelMultiProduct> clone() const override;
      private:
        std::vector<Real> fixedAccruals_, floatingAccruals_;
        std::vector<Time> paymentTimes_;
        Real fixedRate_;
        Size lastIndex_;
    };
 
 
    // inline definitions
 
    inline std::vector<Time>
    OneStepCoinitialSwaps::possibleCashFlowTimes() const {
        return paymentTimes_;
    }
 
    inline Size OneStepCoinitialSwaps::numberOfProducts() const {
        return lastIndex_;
    }
 
    inline Size
    OneStepCoinitialSwaps::maxNumberOfCashFlowsPerProductPerStep() const {
        return 2*lastIndex_;
    }
 
    inline void OneStepCoinitialSwaps::reset() {
        // nothing to do
    }
 
}
 
 
#endif