MarketModelPathwiseSwap Class Reference

#include <pathwiseproductswap.hpp>

Inheritance diagram for MarketModelPathwiseSwap:

Collaboration diagram for MarketModelPathwiseSwap:

Public Member Functions
	MarketModelPathwiseSwap (const std::vector< Time > &rateTimes, const std::vector< Time > &accruals, const std::vector< Rate > &strikes, Real multiplier=1.0)
	~MarketModelPathwiseSwap () override=default
std::vector< Size >	suggestedNumeraires () const override
const EvolutionDescription &	evolution () const override
std::vector< Time >	possibleCashFlowTimes () const override
Size	numberOfProducts () const override
Size	maxNumberOfCashFlowsPerProductPerStep () const override
bool	alreadyDeflated () const override
void	reset () override
	during simulation put product at start of path More...
bool	nextTimeStep (const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< MarketModelPathwiseMultiProduct::CashFlow > > &cashFlowsGenerated) override
	return value indicates whether path is finished, TRUE means done More...
std::unique_ptr< MarketModelPathwiseMultiProduct >	clone () const override
	returns a newly-allocated copy of itself More...
Public Member Functions inherited from MarketModelPathwiseMultiProduct
virtual	~MarketModelPathwiseMultiProduct ()=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 bool	alreadyDeflated () 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< MarketModelPathwiseMultiProduct::CashFlow > > &cashFlowsGenerated)=0
	return value indicates whether path is finished, TRUE means done More...
virtual std::unique_ptr< MarketModelPathwiseMultiProduct >	clone () const =0
	returns a newly-allocated copy of itself More...

Private Attributes
std::vector< Real >	rateTimes_
std::vector< Real >	accruals_
std::vector< Rate >	strikes_
Size	numberRates_
Real	multiplier_
Size	currentIndex_
EvolutionDescription	evolution_

Detailed Description

Swap for doing Greeks. Fairly useless when used directly, but if we want to look a breakable swap it becomes useful.

Examples

MarketModels.cpp.

Definition at line 41 of file pathwiseproductswap.hpp.

Constructor & Destructor Documentation

MarketModelPathwiseSwap()

MarketModelPathwiseSwap	(	const std::vector< Time > &	rateTimes,
		const std::vector< Time > &	accruals,
		const std::vector< Rate > &	strikes,
		Real	multiplier = 1.0
	)

Definition at line 33 of file pathwiseproductswap.cpp.

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~MarketModelPathwiseSwap()

~MarketModelPathwiseSwap ( )

overridedefault

Member Function Documentation

suggestedNumeraires()

std::vector< Size > suggestedNumeraires ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 94 of file pathwiseproductswap.cpp.

evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 103 of file pathwiseproductswap.cpp.

possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 108 of file pathwiseproductswap.cpp.

numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 113 of file pathwiseproductswap.cpp.

maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 118 of file pathwiseproductswap.cpp.

alreadyDeflated()

bool alreadyDeflated ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 28 of file pathwiseproductswap.cpp.

reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelPathwiseMultiProduct.

Definition at line 124 of file pathwiseproductswap.cpp.

nextTimeStep()

bool nextTimeStep ( const CurveState &  currentState, std::vector< Size > &  numberCashFlowsThisStep, std::vector< std::vector< MarketModelPathwiseMultiProduct::CashFlow > > &  cashFlowsGenerated  )

overridevirtual

return value indicates whether path is finished, TRUE means done

Implements MarketModelPathwiseMultiProduct.

Definition at line 66 of file pathwiseproductswap.cpp.

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clone()

std::unique_ptr< MarketModelPathwiseMultiProduct > clone ( ) const

overridevirtual

returns a newly-allocated copy of itself

Implements MarketModelPathwiseMultiProduct.

Definition at line 89 of file pathwiseproductswap.cpp.

Member Data Documentation

rateTimes_

std::vector<Real> rateTimes_

private

Definition at line 77 of file pathwiseproductswap.hpp.

accruals_

std::vector<Real> accruals_

private

Definition at line 78 of file pathwiseproductswap.hpp.

strikes_

std::vector<Rate> strikes_

private

Definition at line 79 of file pathwiseproductswap.hpp.

numberRates_

Size numberRates_

private

Definition at line 80 of file pathwiseproductswap.hpp.

multiplier_

Real multiplier_

private

Definition at line 81 of file pathwiseproductswap.hpp.

currentIndex_

Size currentIndex_

private

Definition at line 84 of file pathwiseproductswap.hpp.

evolution_

EvolutionDescription evolution_

private

Definition at line 86 of file pathwiseproductswap.hpp.