market-model product More...
#include <ql/models/marketmodels/multiproduct.hpp>
Inheritance diagram for MarketModelMultiProduct:
Collaboration diagram for MarketModelMultiProduct:
Classes | |
| struct | CashFlow |
Public Member Functions | |
| 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 ¤tState, 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... | |
Detailed Description
market-model product
This is the abstract base class that encapsulates the notion of a product: it contains the information that would be in the termsheet of the product.
It's useful to have it be able to do several products simultaneously. The products would have to have the same underlying rate times of course. The class is therefore really encapsulating the notion of a multi-product.
For each time evolved to, it generates the cash flows associated to that time for the state of the yield curve. If one was doing a callable product then this would encompass the product and its exercise strategy.
Definition at line 50 of file multiproduct.hpp.
Constructor & Destructor Documentation
◆ ~MarketModelMultiProduct()
|
virtualdefault |
Member Function Documentation
◆ suggestedNumeraires()
|
pure virtual |
◆ evolution()
|
pure virtual |
Implemented in MarketModelComposite, MultiProductMultiStep, MultiProductOneStep, CallSpecifiedMultiProduct, MarketModelCashRebate, ExerciseAdapter, and MultiProductPathwiseWrapper.
Here is the caller graph for this function:
◆ possibleCashFlowTimes()
|
pure virtual |
Implemented in MarketModelComposite, CallSpecifiedMultiProduct, MarketModelCashRebate, ExerciseAdapter, MultiStepCoinitialSwaps, MultiStepCoterminalSwaps, MultiStepCoterminalSwaptions, MultiStepForwards, MultiStepInverseFloater, MultiStepNothing, MultiStepOptionlets, MultiProductPathwiseWrapper, MultiStepPeriodCapletSwaptions, MultiStepRatchet, MultiStepSwap, MultiStepSwaption, MultiStepTarn, OneStepCoinitialSwaps, OneStepCoterminalSwaps, OneStepForwards, and OneStepOptionlets.
Here is the caller graph for this function:
◆ numberOfProducts()
|
pure virtual |
Implemented in MultiProductComposite, CallSpecifiedMultiProduct, MarketModelCashRebate, ExerciseAdapter, MultiStepCoinitialSwaps, MultiStepCoterminalSwaps, MultiStepCoterminalSwaptions, MultiStepForwards, MultiStepInverseFloater, MultiStepNothing, MultiStepOptionlets, MultiProductPathwiseWrapper, MultiStepPeriodCapletSwaptions, MultiStepRatchet, MultiStepSwap, MultiStepSwaption, MultiStepTarn, OneStepCoinitialSwaps, OneStepCoterminalSwaps, OneStepForwards, OneStepOptionlets, and SingleProductComposite.
Here is the caller graph for this function:
◆ maxNumberOfCashFlowsPerProductPerStep()
|
pure virtual |
Implemented in MultiProductComposite, CallSpecifiedMultiProduct, MarketModelCashRebate, ExerciseAdapter, MultiStepCoinitialSwaps, MultiStepCoterminalSwaps, MultiStepCoterminalSwaptions, MultiStepForwards, MultiStepInverseFloater, MultiStepNothing, MultiStepOptionlets, MultiProductPathwiseWrapper, MultiStepPeriodCapletSwaptions, MultiStepRatchet, MultiStepSwap, MultiStepSwaption, MultiStepTarn, OneStepCoinitialSwaps, OneStepCoterminalSwaps, OneStepForwards, OneStepOptionlets, and SingleProductComposite.
Here is the caller graph for this function:
◆ reset()
|
pure virtual |
during simulation put product at start of path
Implemented in MarketModelComposite, CallSpecifiedMultiProduct, MarketModelCashRebate, ExerciseAdapter, MultiStepCoinitialSwaps, MultiStepCoterminalSwaps, MultiStepCoterminalSwaptions, MultiStepForwards, MultiStepInverseFloater, MultiStepNothing, MultiStepOptionlets, MultiProductPathwiseWrapper, MultiStepPeriodCapletSwaptions, MultiStepRatchet, MultiStepSwap, MultiStepSwaption, MultiStepTarn, OneStepCoinitialSwaps, OneStepCoterminalSwaps, OneStepForwards, and OneStepOptionlets.
Here is the caller graph for this function:
◆ nextTimeStep()
|
pure virtual |
return value indicates whether path is finished, TRUE means done
Implemented in ExerciseAdapter, MultiStepNothing, MultiProductComposite, CallSpecifiedMultiProduct, MarketModelCashRebate, MultiStepCoinitialSwaps, MultiStepCoterminalSwaps, MultiStepCoterminalSwaptions, MultiStepForwards, MultiStepInverseFloater, MultiStepOptionlets, MultiProductPathwiseWrapper, MultiStepPeriodCapletSwaptions, MultiStepRatchet, MultiStepSwap, MultiStepSwaption, MultiStepTarn, OneStepCoinitialSwaps, OneStepCoterminalSwaps, OneStepForwards, OneStepOptionlets, and SingleProductComposite.
Here is the caller graph for this function:
◆ clone()
|
pure virtual |
returns a newly-allocated copy of itself
Implemented in MultiProductComposite, CallSpecifiedMultiProduct, MarketModelCashRebate, ExerciseAdapter, MultiStepCoinitialSwaps, MultiStepCoterminalSwaps, MultiStepCoterminalSwaptions, MultiStepForwards, MultiStepInverseFloater, MultiStepNothing, MultiStepOptionlets, MultiProductPathwiseWrapper, MultiStepPeriodCapletSwaptions, MultiStepRatchet, MultiStepSwap, MultiStepSwaption, MultiStepTarn, OneStepCoinitialSwaps, OneStepCoterminalSwaps, OneStepForwards, OneStepOptionlets, and SingleProductComposite.