SwapRateTrigger Class Reference

#include <swapratetrigger.hpp>

Inheritance diagram for SwapRateTrigger:

Collaboration diagram for SwapRateTrigger:

Public Member Functions
	SwapRateTrigger (const std::vector< Time > &rateTimes, std::vector< Rate > swapTriggers, const std::vector< Time > &exerciseTimes)
std::vector< Time >	exerciseTimes () const override
std::vector< Time >	relevantTimes () const override
void	reset () override
bool	exercise (const CurveState &currentState) const override
void	nextStep (const CurveState &currentState) override
std::unique_ptr< ExerciseStrategy< CurveState > >	clone () const override
Public Member Functions inherited from ExerciseStrategy< CurveState >
virtual	~ExerciseStrategy ()=default
virtual std::vector< Time >	exerciseTimes () const=0
virtual std::vector< Time >	relevantTimes () const=0
virtual void	reset ()=0
virtual bool	exercise (const CurveState &currentState) const=0
virtual void	nextStep (const CurveState &currentState)=0
virtual std::unique_ptr< ExerciseStrategy< CurveState > >	clone () const=0

Private Attributes
std::vector< Time >	rateTimes_
std::vector< Rate >	swapTriggers_
std::vector< Time >	exerciseTimes_
Size	currentIndex_
std::vector< Size >	rateIndex_

Detailed Description

Examples

MarketModels.cpp.

Definition at line 29 of file swapratetrigger.hpp.

Constructor & Destructor Documentation

SwapRateTrigger()

SwapRateTrigger	(	const std::vector< Time > &	rateTimes,
		std::vector< Rate >	swapTriggers,
		const std::vector< Time > &	exerciseTimes
	)

Definition at line 26 of file swapratetrigger.cpp.

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Member Function Documentation

exerciseTimes()

std::vector< Time > exerciseTimes ( ) const

overridevirtual

Implements ExerciseStrategy< CurveState >.

Definition at line 48 of file swapratetrigger.cpp.

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relevantTimes()

std::vector< Time > relevantTimes ( ) const

overridevirtual

Implements ExerciseStrategy< CurveState >.

Definition at line 52 of file swapratetrigger.cpp.

reset()

void reset ( )

overridevirtual

Implements ExerciseStrategy< CurveState >.

Definition at line 56 of file swapratetrigger.cpp.

exercise()

bool exercise ( const CurveState &  currentState ) const

overridevirtual

Implements ExerciseStrategy< CurveState >.

Definition at line 60 of file swapratetrigger.cpp.

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nextStep()

void nextStep ( const CurveState &  currentState )

overridevirtual

Implements ExerciseStrategy< CurveState >.

Definition at line 67 of file swapratetrigger.cpp.

clone()

std::unique_ptr< ExerciseStrategy< CurveState > > clone ( ) const

overridevirtual

Implements ExerciseStrategy< CurveState >.

Definition at line 72 of file swapratetrigger.cpp.

Member Data Documentation

rateTimes_

std::vector<Time> rateTimes_

private

Definition at line 41 of file swapratetrigger.hpp.

swapTriggers_

std::vector<Rate> swapTriggers_

private

Definition at line 42 of file swapratetrigger.hpp.

exerciseTimes_

std::vector<Time> exerciseTimes_

private

Definition at line 43 of file swapratetrigger.hpp.

currentIndex_

Size currentIndex_

private

Definition at line 44 of file swapratetrigger.hpp.

rateIndex_

std::vector<Size> rateIndex_

private

Definition at line 45 of file swapratetrigger.hpp.