MultiStepOptionlets Class Reference

#include <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< Size >	suggestedNumeraires () const override
const EvolutionDescription &	evolution () const override
Public Member Functions inherited from MarketModelMultiProduct
virtual	~MarketModelMultiProduct ()=default
virtual std::vector< Size >	suggestedNumeraires () const =0
virtual const EvolutionDescription &	evolution () const =0
virtual std::vector< Time >	possibleCashFlowTimes () 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< MarketModelMultiProduct >	clone () const =0
	returns a newly-allocated copy of itself More...

MarketModelMultiProduct interface
std::vector< Real >	accruals_
std::vector< Time >	paymentTimes_
std::vector< ext::shared_ptr< Payoff > >	payoffs_
Size	currentIndex_
std::vector< Time >	possibleCashFlowTimes () 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< MarketModelMultiProduct >	clone () const override
	returns a newly-allocated copy of itself More...

Additional Inherited Members
Protected Attributes inherited from MultiProductMultiStep
std::vector< Time >	rateTimes_
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.