MultiStepCoterminalSwaps Class Reference

#include <multistepcoterminalswaps.hpp>

Inheritance diagram for MultiStepCoterminalSwaps:

Collaboration diagram for MultiStepCoterminalSwaps:

Public Member Functions
	MultiStepCoterminalSwaps (const std::vector< Time > &rateTimes, std::vector< Real > fixedAccruals, std::vector< Real > floatingAccruals, const std::vector< Time > &paymentTimes, Real fixedRate)
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 >	fixedAccruals_
std::vector< Real >	floatingAccruals_
std::vector< Time >	paymentTimes_
Real	fixedRate_
Size	lastIndex_
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 28 of file multistepcoterminalswaps.hpp.

Constructor & Destructor Documentation

MultiStepCoterminalSwaps()

MultiStepCoterminalSwaps	(	const std::vector< Time > &	rateTimes,
		std::vector< Real >	fixedAccruals,
		std::vector< Real >	floatingAccruals,
		const std::vector< Time > &	paymentTimes,
		Real	fixedRate
	)

Definition at line 27 of file multistepcoterminalswaps.cpp.

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Member Function Documentation

possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 58 of file multistepcoterminalswaps.hpp.

numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 62 of file multistepcoterminalswaps.hpp.

maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 67 of file multistepcoterminalswaps.hpp.

reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelMultiProduct.

Definition at line 71 of file multistepcoterminalswaps.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 40 of file multistepcoterminalswaps.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 65 of file multistepcoterminalswaps.cpp.

Member Data Documentation

fixedAccruals_

std::vector<Real> fixedAccruals_

private

Definition at line 47 of file multistepcoterminalswaps.hpp.

floatingAccruals_

std::vector<Real> floatingAccruals_

private

Definition at line 47 of file multistepcoterminalswaps.hpp.

paymentTimes_

std::vector<Time> paymentTimes_

private

Definition at line 48 of file multistepcoterminalswaps.hpp.

fixedRate_

Real fixedRate_

private

Definition at line 49 of file multistepcoterminalswaps.hpp.

lastIndex_

Size lastIndex_

private

Definition at line 50 of file multistepcoterminalswaps.hpp.

currentIndex_

Size currentIndex_

private

Definition at line 52 of file multistepcoterminalswaps.hpp.