QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Private Attributes | List of all members
SwapForwardBasisSystem Class Reference

#include <ql/models/marketmodels/callability/swapforwardbasissystem.hpp>

+ Inheritance diagram for SwapForwardBasisSystem:
+ Collaboration diagram for SwapForwardBasisSystem:

Public Member Functions

 SwapForwardBasisSystem (const std::vector< Time > &rateTimes, const std::vector< Time > &exerciseTimes)
 
Size numberOfExercises () const override
 
std::vector< SizenumberOfFunctions () const override
 
const EvolutionDescriptionevolution () const override
 
void nextStep (const CurveState &) override
 
void reset () override
 
std::valarray< boolisExerciseTime () const override
 
void values (const CurveState &, std::vector< Real > &results) const override
 
std::unique_ptr< MarketModelBasisSystemclone () const override
 
- Public Member Functions inherited from MarketModelBasisSystem
virtual std::vector< SizenumberOfFunctions () const =0
 
std::vector< SizenumberOfData () const override
 
virtual std::unique_ptr< MarketModelBasisSystemclone () const =0
 
- Public Member Functions inherited from MarketModelNodeDataProvider
virtual ~MarketModelNodeDataProvider ()=default
 
virtual Size numberOfExercises () const =0
 
virtual std::vector< SizenumberOfData () const =0
 
virtual const EvolutionDescriptionevolution () const =0
 
virtual void nextStep (const CurveState &)=0
 
virtual void reset ()=0
 
virtual std::valarray< boolisExerciseTime () const =0
 
virtual void values (const CurveState &, std::vector< Real > &results) const =0
 

Private Attributes

std::vector< TimerateTimes_
 
std::vector< TimeexerciseTimes_
 
Size currentIndex_
 
std::vector< SizerateIndex_
 
EvolutionDescription evolution_
 

Detailed Description

Examples
MarketModels.cpp.

Definition at line 29 of file swapforwardbasissystem.hpp.

Constructor & Destructor Documentation

◆ SwapForwardBasisSystem()

SwapForwardBasisSystem ( const std::vector< Time > &  rateTimes,
const std::vector< Time > &  exerciseTimes 
)

Definition at line 27 of file swapforwardbasissystem.cpp.

Member Function Documentation

◆ numberOfExercises()

Size numberOfExercises ( ) const
overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 43 of file swapforwardbasissystem.cpp.

◆ numberOfFunctions()

std::vector< Size > numberOfFunctions ( ) const
overridevirtual

Implements MarketModelBasisSystem.

Definition at line 48 of file swapforwardbasissystem.cpp.

◆ evolution()

const EvolutionDescription & evolution ( ) const
overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 61 of file swapforwardbasissystem.cpp.

◆ nextStep()

void nextStep ( const CurveState )
overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 66 of file swapforwardbasissystem.cpp.

◆ reset()

void reset ( )
overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 71 of file swapforwardbasissystem.cpp.

◆ isExerciseTime()

std::valarray< bool > isExerciseTime ( ) const
overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 76 of file swapforwardbasissystem.cpp.

◆ values()

void values ( const CurveState currentState,
std::vector< Real > &  results 
) const
overridevirtual

Implements MarketModelNodeDataProvider.

Definition at line 81 of file swapforwardbasissystem.cpp.

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◆ clone()

std::unique_ptr< MarketModelBasisSystem > clone ( ) const
overridevirtual

Implements MarketModelBasisSystem.

Definition at line 131 of file swapforwardbasissystem.cpp.

Member Data Documentation

◆ rateTimes_

std::vector<Time> rateTimes_
private

Definition at line 46 of file swapforwardbasissystem.hpp.

◆ exerciseTimes_

std::vector<Time> exerciseTimes_
private

Definition at line 46 of file swapforwardbasissystem.hpp.

◆ currentIndex_

Size currentIndex_
private

Definition at line 47 of file swapforwardbasissystem.hpp.

◆ rateIndex_

std::vector<Size> rateIndex_
private

Definition at line 48 of file swapforwardbasissystem.hpp.

◆ evolution_

EvolutionDescription evolution_
private

Definition at line 49 of file swapforwardbasissystem.hpp.