QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <swapforwardbasissystem.hpp>
Public Member Functions | |
SwapForwardBasisSystem (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_ |
Definition at line 29 of file swapforwardbasissystem.hpp.
SwapForwardBasisSystem | ( | const std::vector< Time > & | rateTimes, |
const std::vector< Time > & | exerciseTimes | ||
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Definition at line 27 of file swapforwardbasissystem.cpp.
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overridevirtual |
Implements MarketModelNodeDataProvider.
Definition at line 43 of file swapforwardbasissystem.cpp.
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overridevirtual |
Implements MarketModelBasisSystem.
Definition at line 48 of file swapforwardbasissystem.cpp.
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overridevirtual |
Implements MarketModelNodeDataProvider.
Definition at line 61 of file swapforwardbasissystem.cpp.
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overridevirtual |
Implements MarketModelNodeDataProvider.
Definition at line 66 of file swapforwardbasissystem.cpp.
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overridevirtual |
Implements MarketModelNodeDataProvider.
Definition at line 71 of file swapforwardbasissystem.cpp.
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overridevirtual |
Implements MarketModelNodeDataProvider.
Definition at line 76 of file swapforwardbasissystem.cpp.
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overridevirtual |
Implements MarketModelNodeDataProvider.
Definition at line 81 of file swapforwardbasissystem.cpp.
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overridevirtual |
Implements MarketModelBasisSystem.
Definition at line 131 of file swapforwardbasissystem.cpp.
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private |
Definition at line 46 of file swapforwardbasissystem.hpp.
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private |
Definition at line 46 of file swapforwardbasissystem.hpp.
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private |
Definition at line 47 of file swapforwardbasissystem.hpp.
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private |
Definition at line 48 of file swapforwardbasissystem.hpp.
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private |
Definition at line 49 of file swapforwardbasissystem.hpp.