#include <multistepinversefloater.hpp>
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| MultiStepInverseFloater (const std::vector< Time > &rateTimes, std::vector< Real > fixedAccruals, const std::vector< Real > &floatingAccruals, const std::vector< Real > &fixedStrikes, const std::vector< Real > &fixedMultipliers, const std::vector< Real > &floatingSpreads, const std::vector< Time > &paymentTimes, bool payer=true) |
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| MultiProductMultiStep (std::vector< Time > rateTimes) |
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std::vector< Size > | suggestedNumeraires () const override |
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const EvolutionDescription & | evolution () const override |
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virtual | ~MarketModelMultiProduct ()=default |
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virtual std::vector< Size > | suggestedNumeraires () const =0 |
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virtual const EvolutionDescription & | evolution () const =0 |
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virtual std::vector< Time > | possibleCashFlowTimes () const =0 |
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virtual Size | numberOfProducts () const =0 |
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virtual Size | maxNumberOfCashFlowsPerProductPerStep () const =0 |
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virtual void | reset ()=0 |
| during simulation put product at start of path More...
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virtual bool | nextTimeStep (const CurveState ¤tState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated)=0 |
| return value indicates whether path is finished, TRUE means done More...
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virtual std::unique_ptr< MarketModelMultiProduct > | clone () const =0 |
| returns a newly-allocated copy of itself More...
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◆ MultiStepInverseFloater()
MultiStepInverseFloater |
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const std::vector< Time > & |
rateTimes, |
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std::vector< Real > |
fixedAccruals, |
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const std::vector< Real > & |
floatingAccruals, |
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const std::vector< Real > & |
fixedStrikes, |
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const std::vector< Real > & |
fixedMultipliers, |
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const std::vector< Real > & |
floatingSpreads, |
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const std::vector< Time > & |
paymentTimes, |
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bool |
payer = true |
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) |
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◆ possibleCashFlowTimes()
std::vector< Time > possibleCashFlowTimes |
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const |
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overridevirtual |
◆ numberOfProducts()
Size numberOfProducts |
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const |
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overridevirtual |
◆ maxNumberOfCashFlowsPerProductPerStep()
Size maxNumberOfCashFlowsPerProductPerStep |
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const |
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overridevirtual |
◆ reset()
◆ nextTimeStep()
bool nextTimeStep |
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const CurveState & |
currentState, |
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std::vector< Size > & |
numberCashFlowsThisStep, |
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std::vector< std::vector< CashFlow > > & |
cashFlowsGenerated |
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) |
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overridevirtual |
◆ clone()
◆ fixedAccruals_
std::vector<Real> fixedAccruals_ |
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private |
◆ floatingAccruals_
std::vector<Real> floatingAccruals_ |
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private |
◆ fixedStrikes_
std::vector<Real> fixedStrikes_ |
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private |
◆ fixedMultipliers_
std::vector<Real> fixedMultipliers_ |
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private |
◆ floatingSpreads_
std::vector<Real> floatingSpreads_ |
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private |
◆ paymentTimes_
std::vector<Time> paymentTimes_ |
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private |
◆ multiplier_
◆ lastIndex_
◆ currentIndex_