DiscretizedSwaption Class Reference

#include <discretizedswaption.hpp>

Inheritance diagram for DiscretizedSwaption:

Collaboration diagram for DiscretizedSwaption:

Public Member Functions
	DiscretizedSwaption (const Swaption::arguments &, const Date &referenceDate, const DayCounter &dayCounter)
void	reset (Size size) override
Public Member Functions inherited from DiscretizedOption
	DiscretizedOption (ext::shared_ptr< DiscretizedAsset > underlying, Exercise::Type exerciseType, std::vector< Time > exerciseTimes)
void	reset (Size size) override
std::vector< Time >	mandatoryTimes () const override
Public Member Functions inherited from DiscretizedAsset
	DiscretizedAsset ()
virtual	~DiscretizedAsset ()=default
Time	time () const
Time &	time ()
const Array &	values () const
Array &	values ()
const ext::shared_ptr< Lattice > &	method () const
void	initialize (const ext::shared_ptr< Lattice > &, Time t)
void	rollback (Time to)
void	partialRollback (Time to)
Real	presentValue ()
void	preAdjustValues ()
void	postAdjustValues ()
void	adjustValues ()

Static Private Member Functions
static void	prepareSwaptionWithSnappedDates (const Swaption::arguments &args, const Date &referenceDate, const DayCounter &dayCounter, PricingEngine::arguments &snappedArgs, std::vector< CouponAdjustment > &fixedCouponAdjustments, std::vector< CouponAdjustment > &floatingCouponAdjustments)

Private Attributes
Swaption::arguments	arguments_
Time	lastPayment_

Additional Inherited Members
Protected Types inherited from DiscretizedAsset
enum class	CouponAdjustment { pre , post }
Protected Member Functions inherited from DiscretizedOption
void	postAdjustValuesImpl () override
void	applyExerciseCondition ()
Protected Member Functions inherited from DiscretizedAsset
bool	isOnTime (Time t) const
virtual void	preAdjustValuesImpl ()
Protected Attributes inherited from DiscretizedOption
ext::shared_ptr< DiscretizedAsset >	underlying_
Exercise::Type	exerciseType_
std::vector< Time >	exerciseTimes_
Protected Attributes inherited from DiscretizedAsset
Time	time_
Time	latestPreAdjustment_
Time	latestPostAdjustment_
Array	values_

Detailed Description

Definition at line 34 of file discretizedswaption.hpp.

Constructor & Destructor Documentation

DiscretizedSwaption()

DiscretizedSwaption	(	const Swaption::arguments &	args,
		const Date &	referenceDate,
		const DayCounter &	dayCounter
	)

Definition at line 39 of file discretizedswaption.cpp.

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Member Function Documentation

reset()

void reset ( Size  size )

overridevirtual

This method should initialize the asset values to an Array of the given size and with values depending on the particular asset.

Reimplemented from DiscretizedOption.

Definition at line 72 of file discretizedswaption.cpp.

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prepareSwaptionWithSnappedDates()

void prepareSwaptionWithSnappedDates ( const Swaption::arguments &  args, const Date &  referenceDate, const DayCounter &  dayCounter, PricingEngine::arguments &  snappedArgs, std::vector< CouponAdjustment > &  fixedCouponAdjustments, std::vector< CouponAdjustment > &  floatingCouponAdjustments  )

staticprivate

Definition at line 77 of file discretizedswaption.cpp.

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Member Data Documentation

arguments_

Swaption::arguments arguments_

private

Definition at line 42 of file discretizedswaption.hpp.

lastPayment_

Time lastPayment_

private

Definition at line 43 of file discretizedswaption.hpp.