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Public Member Functions | Private Attributes | List of all members
MarketModelPathwiseCoterminalSwaptionsNumericalDeflated Class Reference

#include <ql/models/marketmodels/products/pathwise/pathwiseproductswaption.hpp>

+ Inheritance diagram for MarketModelPathwiseCoterminalSwaptionsNumericalDeflated:
+ Collaboration diagram for MarketModelPathwiseCoterminalSwaptionsNumericalDeflated:

Public Member Functions

 MarketModelPathwiseCoterminalSwaptionsNumericalDeflated (const std::vector< Time > &rateTimes, const std::vector< Rate > &strikes, Real bumpSize_)
 
 ~MarketModelPathwiseCoterminalSwaptionsNumericalDeflated () override=default
 
std::vector< SizesuggestedNumeraires () const override
 
const EvolutionDescriptionevolution () const override
 
std::vector< TimepossibleCashFlowTimes () const override
 
Size numberOfProducts () const override
 
Size maxNumberOfCashFlowsPerProductPerStep () const override
 
bool alreadyDeflated () 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< MarketModelPathwiseMultiProduct::CashFlow > > &cashFlowsGenerated) override
 return value indicates whether path is finished, TRUE means done More...
 
std::unique_ptr< MarketModelPathwiseMultiProductclone () const override
 returns a newly-allocated copy of itself More...
 
- Public Member Functions inherited from MarketModelPathwiseMultiProduct
virtual ~MarketModelPathwiseMultiProduct ()=default
 
virtual std::vector< SizesuggestedNumeraires () const =0
 
virtual const EvolutionDescriptionevolution () const =0
 
virtual std::vector< TimepossibleCashFlowTimes () const =0
 
virtual Size numberOfProducts () const =0
 
virtual Size maxNumberOfCashFlowsPerProductPerStep () const =0
 
virtual bool alreadyDeflated () 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< MarketModelPathwiseMultiProduct::CashFlow > > &cashFlowsGenerated)=0
 return value indicates whether path is finished, TRUE means done More...
 
virtual std::unique_ptr< MarketModelPathwiseMultiProductclone () const =0
 returns a newly-allocated copy of itself More...
 

Private Attributes

std::vector< RealrateTimes_
 
std::vector< Ratestrikes_
 
Size numberRates_
 
Size currentIndex_
 
EvolutionDescription evolution_
 
Real bumpSize_
 
LMMCurveState up_
 
LMMCurveState down_
 
std::vector< Rateforwards_
 

Detailed Description

Easiest way to test MarketModelPathwiseCoterminalSwaptionsDeflated is by doing a numerical differentiation version.

Definition at line 86 of file pathwiseproductswaption.hpp.

Constructor & Destructor Documentation

◆ MarketModelPathwiseCoterminalSwaptionsNumericalDeflated()

MarketModelPathwiseCoterminalSwaptionsNumericalDeflated ( const std::vector< Time > &  rateTimes,
const std::vector< Rate > &  strikes,
Real  bumpSize_ 
)

Definition at line 139 of file pathwiseproductswaption.cpp.

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◆ ~MarketModelPathwiseCoterminalSwaptionsNumericalDeflated()

Member Function Documentation

◆ suggestedNumeraires()

std::vector< Size > suggestedNumeraires ( ) const
overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 217 of file pathwiseproductswaption.cpp.

◆ evolution()

const EvolutionDescription & evolution ( ) const
overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 226 of file pathwiseproductswaption.cpp.

◆ possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const
overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 231 of file pathwiseproductswaption.cpp.

◆ numberOfProducts()

Size numberOfProducts ( ) const
overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 236 of file pathwiseproductswaption.cpp.

◆ maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const
overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 241 of file pathwiseproductswaption.cpp.

◆ alreadyDeflated()

bool alreadyDeflated ( ) const
overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 134 of file pathwiseproductswaption.cpp.

◆ reset()

void reset ( )
overridevirtual

during simulation put product at start of path

Implements MarketModelPathwiseMultiProduct.

Definition at line 247 of file pathwiseproductswaption.cpp.

◆ nextTimeStep()

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

return value indicates whether path is finished, TRUE means done

Implements MarketModelPathwiseMultiProduct.

Definition at line 161 of file pathwiseproductswaption.cpp.

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◆ clone()

std::unique_ptr< MarketModelPathwiseMultiProduct > clone ( ) const
overridevirtual

returns a newly-allocated copy of itself

Implements MarketModelPathwiseMultiProduct.

Definition at line 211 of file pathwiseproductswaption.cpp.

Member Data Documentation

◆ rateTimes_

std::vector<Real> rateTimes_
private

Definition at line 120 of file pathwiseproductswaption.hpp.

◆ strikes_

std::vector<Rate> strikes_
private

Definition at line 121 of file pathwiseproductswaption.hpp.

◆ numberRates_

Size numberRates_
private

Definition at line 122 of file pathwiseproductswaption.hpp.

◆ currentIndex_

Size currentIndex_
private

Definition at line 124 of file pathwiseproductswaption.hpp.

◆ evolution_

EvolutionDescription evolution_
private

Definition at line 126 of file pathwiseproductswaption.hpp.

◆ bumpSize_

Real bumpSize_
private

Definition at line 128 of file pathwiseproductswaption.hpp.

◆ up_

LMMCurveState up_
private

Definition at line 129 of file pathwiseproductswaption.hpp.

◆ down_

LMMCurveState down_
private

Definition at line 130 of file pathwiseproductswaption.hpp.

◆ forwards_

std::vector<Rate> forwards_
private

Definition at line 131 of file pathwiseproductswaption.hpp.