MarketModelComposite Class Reference

Composition of two or more market-model products. More...

#include <compositeproduct.hpp>

Inheritance diagram for MarketModelComposite:

Collaboration diagram for MarketModelComposite:

Classes
struct	SubProduct

Public Member Functions
	MarketModelComposite ()=default
MarketModelMultiProduct interface
const EvolutionDescription &	evolution () const override
std::vector< Size >	suggestedNumeraires () const override
std::vector< Time >	possibleCashFlowTimes () const override
void	reset () override
	during simulation put product at start of path More...
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...

Composite facilities
typedef std::vector< SubProduct >::iterator	iterator
typedef std::vector< SubProduct >::const_iterator	const_iterator
std::vector< SubProduct >	components_
std::vector< Time >	rateTimes_
std::vector< Time >	evolutionTimes_
EvolutionDescription	evolution_
bool	finalized_ = false
Size	currentIndex_
std::vector< Time >	cashflowTimes_
std::vector< std::vector< Time > >	allEvolutionTimes_
std::vector< std::valarray< bool > >	isInSubset_
void	add (const Clone< MarketModelMultiProduct > &, Real multiplier=1.0)
void	subtract (const Clone< MarketModelMultiProduct > &, Real multiplier=1.0)
void	finalize ()
Size	size () const
const MarketModelMultiProduct &	item (Size i) const
MarketModelMultiProduct &	item (Size i)
Real	multiplier (Size i) const

Detailed Description

Composition of two or more market-model products.

Instances of this class build a market-model product by composing one or more subproducts.

Precondition

All subproducts must have the same rate times.

Definition at line 36 of file compositeproduct.hpp.

Member Typedef Documentation

iterator

typedef std::vector<SubProduct>::iterator iterator

protected

Definition at line 69 of file compositeproduct.hpp.

const_iterator

typedef std::vector<SubProduct>::const_iterator const_iterator

protected

Definition at line 70 of file compositeproduct.hpp.

Constructor & Destructor Documentation

MarketModelComposite()

MarketModelComposite ( )

default

Member Function Documentation

evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 25 of file compositeproduct.cpp.

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suggestedNumeraires()

std::vector< Size > suggestedNumeraires ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 30 of file compositeproduct.cpp.

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possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 35 of file compositeproduct.cpp.

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reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelMultiProduct.

Definition at line 40 of file compositeproduct.cpp.

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add()

void add	(	const Clone< MarketModelMultiProduct > &	product,
		Real	multiplier = 1.0
	)

Examples

MarketModels.cpp.

Definition at line 50 of file compositeproduct.cpp.

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subtract()

void subtract	(	const Clone< MarketModelMultiProduct > &	product,
		Real	multiplier = 1.0
	)

Definition at line 73 of file compositeproduct.cpp.

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finalize()

void finalize

(

)

Examples

MarketModels.cpp.

Definition at line 79 of file compositeproduct.cpp.

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size()

Size size

(

)

const

Definition at line 139 of file compositeproduct.cpp.

item() [1/2]

const MarketModelMultiProduct & item

(

Size

i

)

const

Definition at line 143 of file compositeproduct.cpp.

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item() [2/2]

MarketModelMultiProduct & item

(

Size

i

)

Definition at line 147 of file compositeproduct.cpp.

multiplier()

Real multiplier

(

Size

i

)

const

Definition at line 151 of file compositeproduct.cpp.

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Member Data Documentation

components_

std::vector<SubProduct> components_

protected

Definition at line 68 of file compositeproduct.hpp.

rateTimes_

std::vector<Time> rateTimes_

protected

Definition at line 72 of file compositeproduct.hpp.

evolutionTimes_

std::vector<Time> evolutionTimes_

protected

Definition at line 73 of file compositeproduct.hpp.

evolution_

EvolutionDescription evolution_

protected

Definition at line 74 of file compositeproduct.hpp.

finalized_

bool finalized_ = false

protected

Definition at line 76 of file compositeproduct.hpp.

currentIndex_

Size currentIndex_

protected

Definition at line 77 of file compositeproduct.hpp.

cashflowTimes_

std::vector<Time> cashflowTimes_

protected

Definition at line 78 of file compositeproduct.hpp.

allEvolutionTimes_

std::vector<std::vector<Time> > allEvolutionTimes_

protected

Definition at line 79 of file compositeproduct.hpp.

isInSubset_

std::vector<std::valarray<bool> > isInSubset_

protected

Definition at line 80 of file compositeproduct.hpp.