QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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#include <ql/models/marketmodels/products/pathwise/pathwiseproductinversefloater.hpp>
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 ¤tState, 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 ¤tState, 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_ |
Pathwise product inverse floater for doing Greeks Tested in MarketModels::testInverseFloater()
Definition at line 42 of file pathwiseproductinversefloater.hpp.
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 |
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) |
Definition at line 34 of file pathwiseproductinversefloater.cpp.
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overridedefault |
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 107 of file pathwiseproductinversefloater.cpp.
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 116 of file pathwiseproductinversefloater.cpp.
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 121 of file pathwiseproductinversefloater.cpp.
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 126 of file pathwiseproductinversefloater.cpp.
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 131 of file pathwiseproductinversefloater.cpp.
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overridevirtual |
Implements MarketModelPathwiseMultiProduct.
Definition at line 29 of file pathwiseproductinversefloater.cpp.
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overridevirtual |
during simulation put product at start of path
Implements MarketModelPathwiseMultiProduct.
Definition at line 137 of file pathwiseproductinversefloater.cpp.
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overridevirtual |
return value indicates whether path is finished, TRUE means done
Implements MarketModelPathwiseMultiProduct.
Definition at line 63 of file pathwiseproductinversefloater.cpp.
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overridevirtual |
returns a newly-allocated copy of itself
Implements MarketModelPathwiseMultiProduct.
Definition at line 102 of file pathwiseproductinversefloater.cpp.
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private |
Definition at line 79 of file pathwiseproductinversefloater.hpp.
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private |
Definition at line 79 of file pathwiseproductinversefloater.hpp.
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private |
Definition at line 79 of file pathwiseproductinversefloater.hpp.
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private |
Definition at line 79 of file pathwiseproductinversefloater.hpp.
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private |
Definition at line 79 of file pathwiseproductinversefloater.hpp.
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private |
Definition at line 79 of file pathwiseproductinversefloater.hpp.
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private |
Definition at line 80 of file pathwiseproductinversefloater.hpp.
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private |
Definition at line 82 of file pathwiseproductinversefloater.hpp.
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private |
Definition at line 83 of file pathwiseproductinversefloater.hpp.
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private |
Definition at line 85 of file pathwiseproductinversefloater.hpp.
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Definition at line 88 of file pathwiseproductinversefloater.hpp.