QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
#include <bermudanswaptionexercisevalue.hpp>
Public Member Functions | |
BermudanSwaptionExerciseValue (const std::vector< Time > &rateTimes, std::vector< ext::shared_ptr< Payoff > >) | |
Size | numberOfExercises () const override |
const EvolutionDescription & | evolution () const override |
std::vector< Time > | possibleCashFlowTimes () const override |
void | nextStep (const CurveState &) override |
void | reset () override |
std::valarray< bool > | isExerciseTime () const override |
MarketModelMultiProduct::CashFlow | value (const CurveState &) const override |
std::unique_ptr< MarketModelExerciseValue > | clone () const override |
Public Member Functions inherited from MarketModelExerciseValue | |
virtual | ~MarketModelExerciseValue ()=default |
virtual Size | numberOfExercises () const =0 |
virtual const EvolutionDescription & | evolution () const =0 |
virtual std::vector< Time > | possibleCashFlowTimes () const =0 |
virtual void | nextStep (const CurveState &)=0 |
virtual void | reset ()=0 |
virtual std::valarray< bool > | isExerciseTime () const =0 |
virtual MarketModelMultiProduct::CashFlow | value (const CurveState &) const =0 |
virtual std::unique_ptr< MarketModelExerciseValue > | clone () const =0 |
Private Attributes | |
Size | numberOfExercises_ |
std::vector< Time > | rateTimes_ |
std::vector< ext::shared_ptr< Payoff > > | payoffs_ |
EvolutionDescription | evolution_ |
Size | currentIndex_ = 0 |
MarketModelMultiProduct::CashFlow | cf_ |
Definition at line 33 of file bermudanswaptionexercisevalue.hpp.
BermudanSwaptionExerciseValue | ( | const std::vector< Time > & | rateTimes, |
std::vector< ext::shared_ptr< Payoff > > | payoffs | ||
) |
Definition at line 28 of file bermudanswaptionexercisevalue.cpp.
|
overridevirtual |
Implements MarketModelExerciseValue.
Definition at line 41 of file bermudanswaptionexercisevalue.cpp.
|
overridevirtual |
Implements MarketModelExerciseValue.
Definition at line 46 of file bermudanswaptionexercisevalue.cpp.
|
overridevirtual |
Implements MarketModelExerciseValue.
Definition at line 51 of file bermudanswaptionexercisevalue.cpp.
|
overridevirtual |
Implements MarketModelExerciseValue.
Definition at line 59 of file bermudanswaptionexercisevalue.cpp.
|
overridevirtual |
Implements MarketModelExerciseValue.
Definition at line 55 of file bermudanswaptionexercisevalue.cpp.
|
overridevirtual |
Implements MarketModelExerciseValue.
Definition at line 72 of file bermudanswaptionexercisevalue.cpp.
|
overridevirtual |
Implements MarketModelExerciseValue.
Definition at line 77 of file bermudanswaptionexercisevalue.cpp.
|
overridevirtual |
Implements MarketModelExerciseValue.
Definition at line 82 of file bermudanswaptionexercisevalue.cpp.
|
private |
Definition at line 48 of file bermudanswaptionexercisevalue.hpp.
|
private |
Definition at line 49 of file bermudanswaptionexercisevalue.hpp.
|
private |
Definition at line 50 of file bermudanswaptionexercisevalue.hpp.
|
private |
Definition at line 51 of file bermudanswaptionexercisevalue.hpp.
|
private |
Definition at line 53 of file bermudanswaptionexercisevalue.hpp.
|
private |
Definition at line 54 of file bermudanswaptionexercisevalue.hpp.