QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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multistepswap.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006 Giorgio Facchinetti
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20#ifndef quantlib_multistep_swap_hpp
21#define quantlib_multistep_swap_hpp
22
24
25namespace QuantLib {
26
27 // TODO: add payer/receiver choice
28
30 public:
31 MultiStepSwap(const std::vector<Time>& rateTimes,
32 std::vector<Real> fixedAccruals,
33 std::vector<Real> floatingAccruals,
34 const std::vector<Time>& paymentTimes,
35 Rate fixedRate,
36 bool payer = true);
37 //! \name MarketModelMultiProduct interface
38 //@{
39 std::vector<Time> possibleCashFlowTimes() const override;
40 Size numberOfProducts() const override;
42 void reset() override;
43 bool nextTimeStep(const CurveState& currentState,
44 std::vector<Size>& numberCashFlowsThisStep,
45 std::vector<std::vector<CashFlow> >& cashFlowsGenerated) override;
46 std::unique_ptr<MarketModelMultiProduct> clone() const override;
47 //@}
48 private:
50 std::vector<Time> paymentTimes_;
54 // things that vary in a path
56 };
57
58
59 // inline definitions
60
61 inline std::vector<Time>
63 return paymentTimes_;
64 }
65
67 return 1;
68 }
69
70 inline Size
72 return 2;
73 }
74
75 inline void MultiStepSwap::reset() {
77 }
78
79}
80
81#endif
Curve state for market-model simulations
Definition: curvestate.hpp:41
Multiple-step market-model product.
std::vector< Time > paymentTimes_
std::vector< Real > floatingAccruals_
std::unique_ptr< MarketModelMultiProduct > clone() const override
returns a newly-allocated copy of itself
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
std::vector< Time > possibleCashFlowTimes() const override
Size maxNumberOfCashFlowsPerProductPerStep() const override
Size numberOfProducts() const override
std::vector< Real > fixedAccruals_
void reset() override
during simulation put product at start of path
QL_REAL Real
real number
Definition: types.hpp:50
Real Rate
interest rates
Definition: types.hpp:70
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35