QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Private Attributes | List of all members
SwapRateTrigger Class Reference

#include <ql/models/marketmodels/callability/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< TimeexerciseTimes () const override
 
std::vector< TimerelevantTimes () 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< TimeexerciseTimes () const=0
 
virtual std::vector< TimerelevantTimes () 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< TimerateTimes_
 
std::vector< RateswapTriggers_
 
std::vector< TimeexerciseTimes_
 
Size currentIndex_
 
std::vector< SizerateIndex_
 

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.