TriggeredSwapExercise Class Reference

#include <triggeredswapexercise.hpp>

Inheritance diagram for TriggeredSwapExercise:

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Public Member Functions
	TriggeredSwapExercise (const std::vector< Time > &rateTimes, const std::vector< Time > &exerciseTimes, std::vector< Rate > strikes)
Size	numberOfExercises () const override
const EvolutionDescription &	evolution () const override
void	nextStep (const CurveState &) override
void	reset () override
std::valarray< bool >	isExerciseTime () const override
void	values (const CurveState &, std::vector< Real > &results) const override
std::vector< Size >	numberOfVariables () const override
std::vector< Size >	numberOfParameters () const override
bool	exercise (Size exerciseNumber, const std::vector< Real > &parameters, const std::vector< Real > &variables) const override
void	guess (Size exerciseNumber, std::vector< Real > &parameters) const override
std::unique_ptr< MarketModelParametricExercise >	clone () const override
Public Member Functions inherited from MarketModelParametricExercise
std::vector< Size >	numberOfData () const override
virtual std::unique_ptr< MarketModelParametricExercise >	clone () const =0
Public Member Functions inherited from MarketModelNodeDataProvider
virtual	~MarketModelNodeDataProvider ()=default
virtual Size	numberOfExercises () const =0
virtual std::vector< Size >	numberOfData () const =0
virtual const EvolutionDescription &	evolution () const =0
virtual void	nextStep (const CurveState &)=0
virtual void	reset ()=0
virtual std::valarray< bool >	isExerciseTime () const =0
virtual void	values (const CurveState &, std::vector< Real > &results) const =0
Public Member Functions inherited from ParametricExercise
virtual	~ParametricExercise ()=default
virtual std::vector< Size >	numberOfVariables () const =0
virtual std::vector< Size >	numberOfParameters () const =0
virtual bool	exercise (Size exerciseNumber, const std::vector< Real > &parameters, const std::vector< Real > &variables) const =0
virtual void	guess (Size exerciseNumber, std::vector< Real > &parameters) const =0

Private Attributes
std::vector< Time >	rateTimes_
std::vector< Time >	exerciseTimes_
std::vector< Rate >	strikes_
Size	currentStep_ = 0
std::vector< Size >	rateIndex_
EvolutionDescription	evolution_

Detailed Description

Definition at line 28 of file triggeredswapexercise.hpp.

Constructor & Destructor Documentation

TriggeredSwapExercise()

TriggeredSwapExercise	(	const std::vector< Time > &	rateTimes,
		const std::vector< Time > &	exerciseTimes,
		std::vector< Rate >	strikes
	)

Definition at line 27 of file triggeredswapexercise.cpp.

Member Function Documentation

numberOfExercises()

Size numberOfExercises ( ) const

overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 40 of file triggeredswapexercise.cpp.

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evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 44 of file triggeredswapexercise.cpp.

nextStep()

void nextStep ( const CurveState &  )

overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 48 of file triggeredswapexercise.cpp.

reset()

void reset ( )

overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 52 of file triggeredswapexercise.cpp.

isExerciseTime()

std::valarray< bool > isExerciseTime ( ) const

overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 56 of file triggeredswapexercise.cpp.

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values()

void values ( const CurveState &  state, std::vector< Real > &  results  ) const

overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 60 of file triggeredswapexercise.cpp.

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numberOfVariables()

std::vector< Size > numberOfVariables ( ) const

overridevirtual

Implements ParametricExercise.

Definition at line 67 of file triggeredswapexercise.cpp.

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numberOfParameters()

std::vector< Size > numberOfParameters ( ) const

overridevirtual

Implements ParametricExercise.

Definition at line 71 of file triggeredswapexercise.cpp.

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exercise()

bool exercise ( Size  exerciseNumber, const std::vector< Real > &  parameters, const std::vector< Real > &  variables  ) const

overridevirtual

Implements ParametricExercise.

Definition at line 75 of file triggeredswapexercise.cpp.

guess()

void guess ( Size  exerciseNumber, std::vector< Real > &  parameters  ) const

overridevirtual

Implements ParametricExercise.

Definition at line 82 of file triggeredswapexercise.cpp.

clone()

std::unique_ptr< MarketModelParametricExercise > clone ( ) const

overridevirtual

Implements MarketModelParametricExercise.

Definition at line 89 of file triggeredswapexercise.cpp.

Member Data Documentation

rateTimes_

std::vector<Time> rateTimes_

private

Definition at line 53 of file triggeredswapexercise.hpp.

exerciseTimes_

std::vector<Time> exerciseTimes_

private

Definition at line 53 of file triggeredswapexercise.hpp.

strikes_

std::vector<Rate> strikes_

private

Definition at line 54 of file triggeredswapexercise.hpp.

currentStep_

Size currentStep_ = 0

private

Definition at line 55 of file triggeredswapexercise.hpp.

rateIndex_

std::vector<Size> rateIndex_

private

Definition at line 56 of file triggeredswapexercise.hpp.

evolution_

EvolutionDescription evolution_

private

Definition at line 57 of file triggeredswapexercise.hpp.