#include <pathwiseproductinversefloater.hpp>

Inheritance diagram for MarketModelPathwiseInverseFloater:

Collaboration diagram for MarketModelPathwiseInverseFloater:

Public Member Functions
	MarketModelPathwiseInverseFloater (const std::vector< Time > &rateTimes, std::vector< Real > fixedAccruals, const std::vector< Real > &floatingAccruals, const std::vector< Real > &fixedStrikes, const std::vector< Real > &fixedMultipliers, const std::vector< Real > &floatingSpreads, const std::vector< Time > &paymentTimes, bool payer=true)

	~MarketModelPathwiseInverseFloater () override=default

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

const EvolutionDescription &	evolution () const override

std::vector< Time >	possibleCashFlowTimes () 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< MarketModelPathwiseMultiProduct >	clone () const override
	returns a newly-allocated copy of itself More...

Public Member Functions inherited from MarketModelPathwiseMultiProduct
virtual	~MarketModelPathwiseMultiProduct ()=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 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< MarketModelPathwiseMultiProduct >	clone () const =0
	returns a newly-allocated copy of itself More...

Private Attributes
std::vector< Real >	rateTimes_

std::vector< Real >	fixedAccruals_

std::vector< Real >	floatingAccruals_

std::vector< Real >	fixedStrikes_

std::vector< Real >	fixedMultipliers_

std::vector< Real >	floatingSpreads_

std::vector< Time >	paymentTimes_

Real	multiplier_

Size	lastIndex_

EvolutionDescription	evolution_

Size	currentIndex_

Detailed Description

Pathwise product inverse floater for doing Greeks Tested in MarketModels::testInverseFloater()

Examples: MarketModels.cpp.

Definition at line 42 of file pathwiseproductinversefloater.hpp.

Constructor & Destructor Documentation

◆ MarketModelPathwiseInverseFloater()

MarketModelPathwiseInverseFloater	(	const std::vector< Time > &	rateTimes,
		std::vector< Real >	fixedAccruals,
		const std::vector< Real > &	floatingAccruals,
		const std::vector< Real > &	fixedStrikes,
		const std::vector< Real > &	fixedMultipliers,
		const std::vector< Real > &	floatingSpreads,
		const std::vector< Time > &	paymentTimes,
		bool	payer = `true`
	)

Definition at line 34 of file pathwiseproductinversefloater.cpp.

Here is the call graph for this function:

◆ ~MarketModelPathwiseInverseFloater()

~MarketModelPathwiseInverseFloater ( )

overridedefault

Member Function Documentation

◆ suggestedNumeraires()

std::vector< Size > suggestedNumeraires ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 107 of file pathwiseproductinversefloater.cpp.

◆ evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 116 of file pathwiseproductinversefloater.cpp.

◆ possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 121 of file pathwiseproductinversefloater.cpp.

◆ numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 126 of file pathwiseproductinversefloater.cpp.

◆ maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 131 of file pathwiseproductinversefloater.cpp.

◆ alreadyDeflated()

bool alreadyDeflated ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 29 of file pathwiseproductinversefloater.cpp.

◆ reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelPathwiseMultiProduct.

Definition at line 137 of file pathwiseproductinversefloater.cpp.

◆ nextTimeStep()

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