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

#include <ql/models/marketmodels/products/multistep/multistepoptionlets.hpp>

+ Inheritance diagram for MultiStepOptionlets:
+ Collaboration diagram for MultiStepOptionlets:

Public Member Functions

 MultiStepOptionlets (const std::vector< Time > &rateTimes, std::vector< Real > accruals, const std::vector< Time > &paymentTimes, std::vector< ext::shared_ptr< Payoff > >)
 
- Public Member Functions inherited from MultiProductMultiStep
 MultiProductMultiStep (std::vector< Time > rateTimes)
 
std::vector< SizesuggestedNumeraires () const override
 
const EvolutionDescriptionevolution () const override
 
- Public Member Functions inherited from MarketModelMultiProduct
virtual ~MarketModelMultiProduct ()=default
 
virtual std::vector< SizesuggestedNumeraires () const =0
 
virtual const EvolutionDescriptionevolution () const =0
 
virtual std::vector< TimepossibleCashFlowTimes () const =0
 
virtual Size numberOfProducts () const =0
 
virtual Size maxNumberOfCashFlowsPerProductPerStep () 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< CashFlow > > &cashFlowsGenerated)=0
 return value indicates whether path is finished, TRUE means done More...
 
virtual std::unique_ptr< MarketModelMultiProductclone () const =0
 returns a newly-allocated copy of itself More...
 

MarketModelMultiProduct interface

std::vector< Realaccruals_
 
std::vector< TimepaymentTimes_
 
std::vector< ext::shared_ptr< Payoff > > payoffs_
 
Size currentIndex_
 
std::vector< TimepossibleCashFlowTimes () const override
 
Size numberOfProducts () const override
 
Size maxNumberOfCashFlowsPerProductPerStep () 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< CashFlow > > &cashFlowsGenerated) override
 return value indicates whether path is finished, TRUE means done More...
 
std::unique_ptr< MarketModelMultiProductclone () const override
 returns a newly-allocated copy of itself More...
 

Additional Inherited Members

- Protected Attributes inherited from MultiProductMultiStep
std::vector< TimerateTimes_
 
EvolutionDescription evolution_
 

Detailed Description

Definition at line 32 of file multistepoptionlets.hpp.

Constructor & Destructor Documentation

◆ MultiStepOptionlets()

MultiStepOptionlets ( const std::vector< Time > &  rateTimes,
std::vector< Real accruals,
const std::vector< Time > &  paymentTimes,
std::vector< ext::shared_ptr< Payoff > >  payoffs 
)

Definition at line 29 of file multistepoptionlets.cpp.

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Member Function Documentation

◆ possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const
overridevirtual

Implements MarketModelMultiProduct.

Definition at line 60 of file multistepoptionlets.hpp.

◆ numberOfProducts()

Size numberOfProducts ( ) const
overridevirtual

Implements MarketModelMultiProduct.

Definition at line 64 of file multistepoptionlets.hpp.

◆ maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const
overridevirtual

Implements MarketModelMultiProduct.

Definition at line 69 of file multistepoptionlets.hpp.

◆ reset()

void reset ( )
overridevirtual

during simulation put product at start of path

Implements MarketModelMultiProduct.

Definition at line 73 of file multistepoptionlets.hpp.

◆ nextTimeStep()

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

return value indicates whether path is finished, TRUE means done

Implements MarketModelMultiProduct.

Definition at line 38 of file multistepoptionlets.cpp.

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◆ clone()

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

returns a newly-allocated copy of itself

Implements MarketModelMultiProduct.

Definition at line 56 of file multistepoptionlets.cpp.

Member Data Documentation

◆ accruals_

std::vector<Real> accruals_
private

Definition at line 50 of file multistepoptionlets.hpp.

◆ paymentTimes_

std::vector<Time> paymentTimes_
private

Definition at line 51 of file multistepoptionlets.hpp.

◆ payoffs_

std::vector<ext::shared_ptr<Payoff> > payoffs_
private

Definition at line 52 of file multistepoptionlets.hpp.

◆ currentIndex_

Size currentIndex_
private

Definition at line 54 of file multistepoptionlets.hpp.