MarketModelPathwiseMultiCaplet Class Reference

market-model pathwise caplet More...

#include <ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.hpp>

Inheritance diagram for MarketModelPathwiseMultiCaplet:

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Public Member Functions
	MarketModelPathwiseMultiCaplet (const std::vector< Time > &rateTimes, const std::vector< Real > &accruals, const std::vector< Time > &paymentTimes, const std::vector< Rate > &strikes)
	~MarketModelPathwiseMultiCaplet () 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< Time >	paymentTimes_
std::vector< Rate >	strikes_
Size	numberRates_
Size	currentIndex_
EvolutionDescription	evolution_

Detailed Description

market-model pathwise caplet

implementation of path wise methodology for caplets, essentially a test class since we have better ways of computing Greeks of caplets

used in MarketModelTest::testPathwiseVegas and MarketModelTest::testPathwiseGreeks

Definition at line 44 of file pathwiseproductcaplet.hpp.

Constructor & Destructor Documentation

MarketModelPathwiseMultiCaplet()

MarketModelPathwiseMultiCaplet	(	const std::vector< Time > &	rateTimes,
		const std::vector< Real > &	accruals,
		const std::vector< Time > &	paymentTimes,
		const std::vector< Rate > &	strikes
	)

Definition at line 34 of file pathwiseproductcaplet.cpp.

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~MarketModelPathwiseMultiCaplet()

~MarketModelPathwiseMultiCaplet ( )

overridedefault

Member Function Documentation

suggestedNumeraires()

std::vector< Size > suggestedNumeraires ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 100 of file pathwiseproductcaplet.cpp.

evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 109 of file pathwiseproductcaplet.cpp.

possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 114 of file pathwiseproductcaplet.cpp.

numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 119 of file pathwiseproductcaplet.cpp.

maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 124 of file pathwiseproductcaplet.cpp.

alreadyDeflated()

bool alreadyDeflated ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 29 of file pathwiseproductcaplet.cpp.

reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelPathwiseMultiProduct.

Definition at line 130 of file pathwiseproductcaplet.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 69 of file pathwiseproductcaplet.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 95 of file pathwiseproductcaplet.cpp.

Member Data Documentation

rateTimes_

std::vector<Real> rateTimes_

private

Definition at line 80 of file pathwiseproductcaplet.hpp.

accruals_

std::vector<Real> accruals_

private

Definition at line 81 of file pathwiseproductcaplet.hpp.

paymentTimes_

std::vector<Time> paymentTimes_

private

Definition at line 82 of file pathwiseproductcaplet.hpp.

strikes_

std::vector<Rate> strikes_

private

Definition at line 83 of file pathwiseproductcaplet.hpp.

numberRates_

Size numberRates_

private

Definition at line 84 of file pathwiseproductcaplet.hpp.

currentIndex_

Size currentIndex_

private

Definition at line 86 of file pathwiseproductcaplet.hpp.

evolution_

EvolutionDescription evolution_

private

Definition at line 88 of file pathwiseproductcaplet.hpp.