QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
BermudanSwaptionExerciseValue Class Reference

#include <bermudanswaptionexercisevalue.hpp>

+ Inheritance diagram for BermudanSwaptionExerciseValue:
+ Collaboration diagram for BermudanSwaptionExerciseValue:

Public Member Functions

 BermudanSwaptionExerciseValue (const std::vector< Time > &rateTimes, std::vector< ext::shared_ptr< Payoff > >)
 
Size numberOfExercises () const override
 
const EvolutionDescriptionevolution () const override
 
std::vector< TimepossibleCashFlowTimes () const override
 
void nextStep (const CurveState &) override
 
void reset () override
 
std::valarray< boolisExerciseTime () const override
 
MarketModelMultiProduct::CashFlow value (const CurveState &) const override
 
std::unique_ptr< MarketModelExerciseValueclone () const override
 
- Public Member Functions inherited from MarketModelExerciseValue
virtual ~MarketModelExerciseValue ()=default
 
virtual Size numberOfExercises () const =0
 
virtual const EvolutionDescriptionevolution () const =0
 
virtual std::vector< TimepossibleCashFlowTimes () const =0
 
virtual void nextStep (const CurveState &)=0
 
virtual void reset ()=0
 
virtual std::valarray< boolisExerciseTime () const =0
 
virtual MarketModelMultiProduct::CashFlow value (const CurveState &) const =0
 
virtual std::unique_ptr< MarketModelExerciseValueclone () const =0
 

Private Attributes

Size numberOfExercises_
 
std::vector< TimerateTimes_
 
std::vector< ext::shared_ptr< Payoff > > payoffs_
 
EvolutionDescription evolution_
 
Size currentIndex_ = 0
 
MarketModelMultiProduct::CashFlow cf_
 

Detailed Description

Definition at line 33 of file bermudanswaptionexercisevalue.hpp.

Constructor & Destructor Documentation

◆ BermudanSwaptionExerciseValue()

BermudanSwaptionExerciseValue ( const std::vector< Time > &  rateTimes,
std::vector< ext::shared_ptr< Payoff > >  payoffs 
)

Definition at line 28 of file bermudanswaptionexercisevalue.cpp.

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Member Function Documentation

◆ numberOfExercises()

Size numberOfExercises ( ) const
overridevirtual

Implements MarketModelExerciseValue.

Definition at line 41 of file bermudanswaptionexercisevalue.cpp.

◆ evolution()

const EvolutionDescription & evolution ( ) const
overridevirtual

Implements MarketModelExerciseValue.

Definition at line 46 of file bermudanswaptionexercisevalue.cpp.

◆ possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const
overridevirtual

Implements MarketModelExerciseValue.

Definition at line 51 of file bermudanswaptionexercisevalue.cpp.

◆ nextStep()

void nextStep ( const CurveState state)
overridevirtual

Implements MarketModelExerciseValue.

Definition at line 59 of file bermudanswaptionexercisevalue.cpp.

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◆ reset()

void reset ( )
overridevirtual

Implements MarketModelExerciseValue.

Definition at line 55 of file bermudanswaptionexercisevalue.cpp.

◆ isExerciseTime()

std::valarray< bool > isExerciseTime ( ) const
overridevirtual

Implements MarketModelExerciseValue.

Definition at line 72 of file bermudanswaptionexercisevalue.cpp.

◆ value()

MarketModelMultiProduct::CashFlow value ( const CurveState ) const
overridevirtual

Implements MarketModelExerciseValue.

Definition at line 77 of file bermudanswaptionexercisevalue.cpp.

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◆ clone()

std::unique_ptr< MarketModelExerciseValue > clone ( ) const
overridevirtual

Implements MarketModelExerciseValue.

Definition at line 82 of file bermudanswaptionexercisevalue.cpp.

Member Data Documentation

◆ numberOfExercises_

Size numberOfExercises_
private

Definition at line 48 of file bermudanswaptionexercisevalue.hpp.

◆ rateTimes_

std::vector<Time> rateTimes_
private

Definition at line 49 of file bermudanswaptionexercisevalue.hpp.

◆ payoffs_

std::vector<ext::shared_ptr<Payoff> > payoffs_
private

Definition at line 50 of file bermudanswaptionexercisevalue.hpp.

◆ evolution_

EvolutionDescription evolution_
private

Definition at line 51 of file bermudanswaptionexercisevalue.hpp.

◆ currentIndex_

Size currentIndex_ = 0
private

Definition at line 53 of file bermudanswaptionexercisevalue.hpp.

◆ cf_

Definition at line 54 of file bermudanswaptionexercisevalue.hpp.