MarketModelPathwiseDiscounter Class Reference

#include <pathwisediscounter.hpp>

Collaboration diagram for MarketModelPathwiseDiscounter:

Public Member Functions
	MarketModelPathwiseDiscounter (Time paymentTime, const std::vector< Time > &rateTimes)
void	getFactors (const Matrix &LIBORRates, const Matrix &Discounts, Size currentStep, std::vector< Real > &factors) const

Private Attributes
Size	before_
Size	numberRates_
Real	beforeWeight_
Real	postWeight_
std::vector< Real >	taus_

Detailed Description

this class returns the number of units of the discretely compounding money market account that 1 unit of cash at the payment can buy using the LIBOR rates from current step.

It also returns the derivative of this number with respect to each of the rates.

Discounting is purely based on the simulation LIBOR rates, to get a discounting back to zero you need to multiply by the discount factor of t_0.

Definition at line 43 of file pathwisediscounter.hpp.

Constructor & Destructor Documentation

MarketModelPathwiseDiscounter()

MarketModelPathwiseDiscounter	(	Time	paymentTime,
		const std::vector< Time > &	rateTimes
	)

Definition at line 26 of file pathwisediscounter.cpp.

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Member Function Documentation

getFactors()

void getFactors	(	const Matrix &	LIBORRates,
		const Matrix &	Discounts,
		Size	currentStep,
		std::vector< Real > &	factors
	)		const

Definition at line 51 of file pathwisediscounter.cpp.

Member Data Documentation

before_

Size before_

private

Definition at line 52 of file pathwisediscounter.hpp.

numberRates_

Size numberRates_

private

Definition at line 53 of file pathwisediscounter.hpp.

beforeWeight_

Real beforeWeight_

private

Definition at line 54 of file pathwisediscounter.hpp.

postWeight_

Real postWeight_

private

Definition at line 55 of file pathwisediscounter.hpp.

taus_

std::vector<Real> taus_

private

Definition at line 56 of file pathwisediscounter.hpp.