SwapBasisSystem Class Reference

#include <swapbasissystem.hpp>

Inheritance diagram for SwapBasisSystem:

Collaboration diagram for SwapBasisSystem:

Public Member Functions
	SwapBasisSystem (const std::vector< Time > &rateTimes, const std::vector< Time > &exerciseTimes)
Size	numberOfExercises () const override
std::vector< Size >	numberOfFunctions () const override
const EvolutionDescription &	evolution () const override
void	nextStep (const CurveState &) override
void	reset () override
std::valarray< bool >	isExerciseTime () const override
void	values (const CurveState &, std::vector< Real > &results) const override
std::unique_ptr< MarketModelBasisSystem >	clone () const override
Public Member Functions inherited from MarketModelBasisSystem
virtual std::vector< Size >	numberOfFunctions () const =0
std::vector< Size >	numberOfData () const override
virtual std::unique_ptr< MarketModelBasisSystem >	clone () const =0
Public Member Functions inherited from MarketModelNodeDataProvider
virtual	~MarketModelNodeDataProvider ()=default
virtual Size	numberOfExercises () const =0
virtual std::vector< Size >	numberOfData () const =0
virtual const EvolutionDescription &	evolution () const =0
virtual void	nextStep (const CurveState &)=0
virtual void	reset ()=0
virtual std::valarray< bool >	isExerciseTime () const =0
virtual void	values (const CurveState &, std::vector< Real > &results) const =0

Private Attributes
std::vector< Time >	rateTimes_
std::vector< Time >	exerciseTimes_
Size	currentIndex_
std::vector< Size >	rateIndex_
EvolutionDescription	evolution_

Detailed Description

Examples

MarketModels.cpp.

Definition at line 29 of file swapbasissystem.hpp.

Constructor & Destructor Documentation

SwapBasisSystem()

SwapBasisSystem	(	const std::vector< Time > &	rateTimes,
		const std::vector< Time > &	exerciseTimes
	)

Definition at line 26 of file swapbasissystem.cpp.

Member Function Documentation

numberOfExercises()

Size numberOfExercises ( ) const

overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 39 of file swapbasissystem.cpp.

numberOfFunctions()

std::vector< Size > numberOfFunctions ( ) const

overridevirtual

Implements MarketModelBasisSystem.

Definition at line 43 of file swapbasissystem.cpp.

evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 50 of file swapbasissystem.cpp.

nextStep()

void nextStep ( const CurveState &  )

overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 54 of file swapbasissystem.cpp.

reset()

void reset ( )

overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 58 of file swapbasissystem.cpp.

isExerciseTime()

std::valarray< bool > isExerciseTime ( ) const

overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 62 of file swapbasissystem.cpp.

values()

void values ( const CurveState &  currentState, std::vector< Real > &  results  ) const

overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 66 of file swapbasissystem.cpp.

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clone()

std::unique_ptr< MarketModelBasisSystem > clone ( ) const

overridevirtual

Implements MarketModelBasisSystem.

Definition at line 79 of file swapbasissystem.cpp.

Member Data Documentation

rateTimes_

std::vector<Time> rateTimes_

private

Definition at line 42 of file swapbasissystem.hpp.

exerciseTimes_

std::vector<Time> exerciseTimes_

private

Definition at line 42 of file swapbasissystem.hpp.

currentIndex_

Size currentIndex_

private

Definition at line 43 of file swapbasissystem.hpp.

rateIndex_

std::vector<Size> rateIndex_

private

Definition at line 44 of file swapbasissystem.hpp.

evolution_

EvolutionDescription evolution_

private

Definition at line 45 of file swapbasissystem.hpp.