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

Inheritance diagram for MarketModelPathwiseCoterminalSwaptionsDeflated:

Collaboration diagram for MarketModelPathwiseCoterminalSwaptionsDeflated:

Public Member Functions
	MarketModelPathwiseCoterminalSwaptionsDeflated (const std::vector< Time > &rateTimes, const std::vector< Rate > &strikes)

	~MarketModelPathwiseCoterminalSwaptionsDeflated () 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< Rate >	strikes_

Size	numberRates_

Size	currentIndex_

EvolutionDescription	evolution_

Detailed Description

Main use is to test market pathwise vegas. The swaptions are payers and co-terminal. The class is tested in TestPathwiseVegas by running against the numerical version below.

Definition at line 40 of file pathwiseproductswaption.hpp.

Constructor & Destructor Documentation

◆ MarketModelPathwiseCoterminalSwaptionsDeflated()

MarketModelPathwiseCoterminalSwaptionsDeflated	(	const std::vector< Time > &	rateTimes,
		const std::vector< Rate > &	strikes
	)

Definition at line 32 of file pathwiseproductswaption.cpp.

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◆ ~MarketModelPathwiseCoterminalSwaptionsDeflated()

~MarketModelPathwiseCoterminalSwaptionsDeflated ( )

overridedefault

Member Function Documentation

◆ suggestedNumeraires()

std::vector< Size > suggestedNumeraires ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 95 of file pathwiseproductswaption.cpp.

◆ evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 104 of file pathwiseproductswaption.cpp.

◆ possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 109 of file pathwiseproductswaption.cpp.

◆ numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 114 of file pathwiseproductswaption.cpp.

◆ maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 119 of file pathwiseproductswaption.cpp.

◆ alreadyDeflated()

bool alreadyDeflated ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 27 of file pathwiseproductswaption.cpp.

◆ reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelPathwiseMultiProduct.

Definition at line 125 of file pathwiseproductswaption.cpp.

◆ nextTimeStep()

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