QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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multistepperiodcapletswaptions.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007 Mark Joshi
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
21#ifndef quantlib_multistep_period_caplets_swaptions_hpp
22#define quantlib_multistep_period_caplets_swaptions_hpp
23
25#include <ql/shared_ptr.hpp>
26#include <vector>
27namespace QuantLib {
28
29 class StrikedTypePayoff;
30
32 {
33 public:
35 const std::vector<Time>& rateTimes,
36 const std::vector<Time>& forwardOptionPaymentTimes,
37 const std::vector<Time>& swaptionPaymentTimes,
38 std::vector<ext::shared_ptr<StrikedTypePayoff> > forwardPayOffs,
39 std::vector<ext::shared_ptr<StrikedTypePayoff> > swapPayOffs,
40 Size period,
41 Size offset);
42 //! \name MarketModelMultiProduct interface
43 //@{
44 std::vector<Time> possibleCashFlowTimes() const override;
45 Size numberOfProducts() const override;
47 void reset() override;
48 bool nextTimeStep(const CurveState& currentState,
49 std::vector<Size>& numberCashFlowsThisStep,
50 std::vector<std::vector<CashFlow> >& cashFlowsGenerated) override;
51 std::unique_ptr<MarketModelMultiProduct> clone() const override;
52 //@}
53
54 private:
55 std::vector<Time> paymentTimes_;
56 std::vector<Time> forwardOptionPaymentTimes_;
57 std::vector<Time> swaptionPaymentTimes_;
58 std::vector<ext::shared_ptr<StrikedTypePayoff> > forwardPayOffs_;
59 std::vector<ext::shared_ptr<StrikedTypePayoff> > swapPayOffs_;
65
66 // things that vary in a path
69 };
70
71 // Inline definitions
72
73 inline std::vector<Time>
75 return paymentTimes_;
76 }
77
79 return numberBigFRAs_*2;
80 }
81
82 inline Size
84 return 1;
85 }
86
90 }
91
92}
93
94#endif
Curve state for market-model simulations
Definition: curvestate.hpp:41
Multiple-step market-model product.
std::vector< ext::shared_ptr< StrikedTypePayoff > > forwardPayOffs_
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
std::vector< ext::shared_ptr< StrikedTypePayoff > > swapPayOffs_
void reset() override
during simulation put product at start of path
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
Maps shared_ptr to either the boost or std implementation.