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

#include <exercisevalue.hpp>

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Public Member Functions

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
 

Detailed Description

Definition at line 35 of file exercisevalue.hpp.

Constructor & Destructor Documentation

◆ ~MarketModelExerciseValue()

virtual ~MarketModelExerciseValue ( )
virtualdefault

Member Function Documentation

◆ numberOfExercises()

virtual Size numberOfExercises ( ) const
pure virtual

◆ evolution()

virtual const EvolutionDescription & evolution ( ) const
pure virtual

Implemented in BermudanSwaptionExerciseValue, and NothingExerciseValue.

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◆ possibleCashFlowTimes()

virtual std::vector< Time > possibleCashFlowTimes ( ) const
pure virtual

Implemented in BermudanSwaptionExerciseValue, and NothingExerciseValue.

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◆ nextStep()

virtual void nextStep ( const CurveState )
pure virtual

Implemented in BermudanSwaptionExerciseValue, and NothingExerciseValue.

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◆ reset()

virtual void reset ( )
pure virtual

Implemented in BermudanSwaptionExerciseValue, and NothingExerciseValue.

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◆ isExerciseTime()

virtual std::valarray< bool > isExerciseTime ( ) const
pure virtual

Implemented in BermudanSwaptionExerciseValue, and NothingExerciseValue.

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◆ value()

virtual MarketModelMultiProduct::CashFlow value ( const CurveState ) const
pure virtual

Implemented in BermudanSwaptionExerciseValue, and NothingExerciseValue.

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◆ clone()

virtual std::unique_ptr< MarketModelExerciseValue > clone ( ) const
pure virtual