21#ifndef quantlib_market_model_pathwise_inverse_floater_hpp
22#define quantlib_market_model_pathwise_inverse_floater_hpp
34 class EvolutionDescription;
46 std::vector<Real> fixedAccruals,
47 const std::vector<Real>& floatingAccruals,
48 const std::vector<Real>& fixedStrikes,
49 const std::vector<Real>& fixedMultipliers,
50 const std::vector<Real>& floatingSpreads,
51 const std::vector<Time>& paymentTimes,
67 void reset()
override;
71 std::vector<Size>& numberCashFlowsThisStep,
72 std::vector<std::vector<MarketModelPathwiseMultiProduct::CashFlow> >&
73 cashFlowsGenerated)
override;
76 std::unique_ptr<MarketModelPathwiseMultiProduct>
clone()
const override;
Curve state for market-model simulations
Market-model evolution description.
std::vector< Time > paymentTimes_
std::vector< Size > suggestedNumeraires() const override
std::vector< Real > floatingAccruals_
std::vector< Real > fixedStrikes_
std::vector< Real > floatingSpreads_
std::vector< Real > fixedMultipliers_
bool nextTimeStep(const CurveState ¤tState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< MarketModelPathwiseMultiProduct::CashFlow > > &cashFlowsGenerated) override
return value indicates whether path is finished, TRUE means done
std::unique_ptr< MarketModelPathwiseMultiProduct > clone() const override
returns a newly-allocated copy of itself
bool alreadyDeflated() const override
std::vector< Time > possibleCashFlowTimes() const override
const EvolutionDescription & evolution() const override
Size maxNumberOfCashFlowsPerProductPerStep() const override
EvolutionDescription evolution_
Size numberOfProducts() const override
std::vector< Real > fixedAccruals_
std::vector< Real > rateTimes_
~MarketModelPathwiseInverseFloater() override=default
void reset() override
during simulation put product at start of path
market-model pathwise product
std::size_t Size
size of a container