QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <callspecifiedmultiproduct.hpp>
Public Member Functions | |
CallSpecifiedMultiProduct (const Clone< MarketModelMultiProduct > &underlying, const Clone< ExerciseStrategy< CurveState > > &, Clone< MarketModelMultiProduct > rebate=Clone< MarketModelMultiProduct >()) | |
Public Member Functions inherited from MarketModelMultiProduct | |
virtual | ~MarketModelMultiProduct ()=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 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< CashFlow > > &cashFlowsGenerated)=0 |
return value indicates whether path is finished, TRUE means done More... | |
virtual std::unique_ptr< MarketModelMultiProduct > | clone () const =0 |
returns a newly-allocated copy of itself More... | |
MarketModelMultiProduct interface | |
Clone< MarketModelMultiProduct > | underlying_ |
Clone< ExerciseStrategy< CurveState > > | strategy_ |
Clone< MarketModelMultiProduct > | rebate_ |
EvolutionDescription | evolution_ |
std::vector< std::valarray< bool > > | isPresent_ |
std::vector< Time > | cashFlowTimes_ |
Size | rebateOffset_ = 0UL |
bool | wasCalled_ = false |
std::vector< Size > | dummyCashFlowsThisStep_ |
std::vector< std::vector< CashFlow > > | dummyCashFlowsGenerated_ |
Size | currentIndex_ = 0UL |
bool | callable_ = true |
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 |
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< CashFlow > > &cashFlowsGenerated) override |
return value indicates whether path is finished, TRUE means done More... | |
std::unique_ptr< MarketModelMultiProduct > | clone () const override |
returns a newly-allocated copy of itself More... | |
const MarketModelMultiProduct & | underlying () const |
const ExerciseStrategy< CurveState > & | strategy () const |
const MarketModelMultiProduct & | rebate () const |
void | enableCallability () |
void | disableCallability () |
Definition at line 32 of file callspecifiedmultiproduct.hpp.
CallSpecifiedMultiProduct | ( | const Clone< MarketModelMultiProduct > & | underlying, |
const Clone< ExerciseStrategy< CurveState > > & | strategy, | ||
Clone< MarketModelMultiProduct > | rebate = Clone<MarketModelMultiProduct>() |
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Definition at line 27 of file callspecifiedmultiproduct.cpp.
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overridevirtual |
Implements MarketModelMultiProduct.
Definition at line 84 of file callspecifiedmultiproduct.cpp.
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overridevirtual |
Implements MarketModelMultiProduct.
Definition at line 89 of file callspecifiedmultiproduct.cpp.
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overridevirtual |
Implements MarketModelMultiProduct.
Definition at line 95 of file callspecifiedmultiproduct.cpp.
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overridevirtual |
Implements MarketModelMultiProduct.
Definition at line 100 of file callspecifiedmultiproduct.cpp.
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overridevirtual |
Implements MarketModelMultiProduct.
Definition at line 106 of file callspecifiedmultiproduct.cpp.
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overridevirtual |
during simulation put product at start of path
Implements MarketModelMultiProduct.
Definition at line 112 of file callspecifiedmultiproduct.cpp.
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overridevirtual |
return value indicates whether path is finished, TRUE means done
Implements MarketModelMultiProduct.
Definition at line 122 of file callspecifiedmultiproduct.cpp.
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overridevirtual |
returns a newly-allocated copy of itself
Implements MarketModelMultiProduct.
Definition at line 171 of file callspecifiedmultiproduct.cpp.
const MarketModelMultiProduct & underlying | ( | ) | const |
Definition at line 177 of file callspecifiedmultiproduct.cpp.
const ExerciseStrategy< CurveState > & strategy | ( | ) | const |
Definition at line 183 of file callspecifiedmultiproduct.cpp.
const MarketModelMultiProduct & rebate | ( | ) | const |
Definition at line 189 of file callspecifiedmultiproduct.cpp.
void enableCallability | ( | ) |
Definition at line 194 of file callspecifiedmultiproduct.cpp.
void disableCallability | ( | ) |
Definition at line 199 of file callspecifiedmultiproduct.cpp.
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private |
Definition at line 57 of file callspecifiedmultiproduct.hpp.
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Definition at line 58 of file callspecifiedmultiproduct.hpp.
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Definition at line 59 of file callspecifiedmultiproduct.hpp.
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Definition at line 60 of file callspecifiedmultiproduct.hpp.
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Definition at line 61 of file callspecifiedmultiproduct.hpp.
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Definition at line 62 of file callspecifiedmultiproduct.hpp.
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Definition at line 63 of file callspecifiedmultiproduct.hpp.
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Definition at line 64 of file callspecifiedmultiproduct.hpp.
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Definition at line 65 of file callspecifiedmultiproduct.hpp.
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private |
Definition at line 66 of file callspecifiedmultiproduct.hpp.
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Definition at line 67 of file callspecifiedmultiproduct.hpp.
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private |
Definition at line 68 of file callspecifiedmultiproduct.hpp.