CallSpecifiedMultiProduct Class Reference

#include <ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.hpp>

Inheritance diagram for CallSpecifiedMultiProduct:

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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 &currentState, 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 &currentState, 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 ()

Detailed Description

Examples

MarketModels.cpp.

Definition at line 32 of file callspecifiedmultiproduct.hpp.

Constructor & Destructor Documentation

CallSpecifiedMultiProduct()

CallSpecifiedMultiProduct	(	const Clone< MarketModelMultiProduct > &	underlying,
		const Clone< ExerciseStrategy< CurveState > > &	strategy,
		Clone< MarketModelMultiProduct >	rebate = Clone<MarketModelMultiProduct>()
	)

Definition at line 27 of file callspecifiedmultiproduct.cpp.

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Member Function Documentation

suggestedNumeraires()

std::vector< Size > suggestedNumeraires ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 84 of file callspecifiedmultiproduct.cpp.

evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Examples

MarketModels.cpp.

Definition at line 89 of file callspecifiedmultiproduct.cpp.

possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 95 of file callspecifiedmultiproduct.cpp.

numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 100 of file callspecifiedmultiproduct.cpp.

maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 106 of file callspecifiedmultiproduct.cpp.

reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelMultiProduct.

Definition at line 112 of file callspecifiedmultiproduct.cpp.

nextTimeStep()

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

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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clone()

std::unique_ptr< MarketModelMultiProduct > clone ( ) const

overridevirtual

returns a newly-allocated copy of itself

Implements MarketModelMultiProduct.

Definition at line 171 of file callspecifiedmultiproduct.cpp.

underlying()

const MarketModelMultiProduct & underlying

(

)

const

Definition at line 177 of file callspecifiedmultiproduct.cpp.

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strategy()

const ExerciseStrategy< CurveState > & strategy

(

)

const

Definition at line 183 of file callspecifiedmultiproduct.cpp.

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rebate()

const MarketModelMultiProduct & rebate

(

)

const

Definition at line 189 of file callspecifiedmultiproduct.cpp.

enableCallability()

void enableCallability

(

)

Definition at line 194 of file callspecifiedmultiproduct.cpp.

disableCallability()

void disableCallability

(

)

Definition at line 199 of file callspecifiedmultiproduct.cpp.

Member Data Documentation

underlying_

Clone<MarketModelMultiProduct> underlying_

private

Definition at line 57 of file callspecifiedmultiproduct.hpp.

strategy_

Clone<ExerciseStrategy<CurveState> > strategy_

private

Definition at line 58 of file callspecifiedmultiproduct.hpp.

rebate_

Clone<MarketModelMultiProduct> rebate_

private

Definition at line 59 of file callspecifiedmultiproduct.hpp.

evolution_

EvolutionDescription evolution_

private

Definition at line 60 of file callspecifiedmultiproduct.hpp.

isPresent_

std::vector<std::valarray<bool> > isPresent_

private

Definition at line 61 of file callspecifiedmultiproduct.hpp.

cashFlowTimes_

std::vector<Time> cashFlowTimes_

private

Definition at line 62 of file callspecifiedmultiproduct.hpp.

rebateOffset_

Size rebateOffset_ = 0UL

private

Definition at line 63 of file callspecifiedmultiproduct.hpp.

wasCalled_

bool wasCalled_ = false

private

Definition at line 64 of file callspecifiedmultiproduct.hpp.

dummyCashFlowsThisStep_

std::vector<Size> dummyCashFlowsThisStep_

private

Definition at line 65 of file callspecifiedmultiproduct.hpp.

dummyCashFlowsGenerated_

std::vector<std::vector<CashFlow> > dummyCashFlowsGenerated_

private

Definition at line 66 of file callspecifiedmultiproduct.hpp.

currentIndex_

Size currentIndex_ = 0UL

private

Definition at line 67 of file callspecifiedmultiproduct.hpp.

callable_

bool callable_ = true

private

Definition at line 68 of file callspecifiedmultiproduct.hpp.