DiscretizedSwap Class Reference

#include <ql/pricingengines/swap/discretizedswap.hpp>

Inheritance diagram for DiscretizedSwap:

Collaboration diagram for DiscretizedSwap:

Public Member Functions
	DiscretizedSwap (const VanillaSwap::arguments &args, const Date &referenceDate, const DayCounter &dayCounter)
	DiscretizedSwap (const VanillaSwap::arguments &args, const Date &referenceDate, const DayCounter &dayCounter, std::vector< CouponAdjustment > fixedCouponAdjustments, std::vector< CouponAdjustment > floatingCouponAdjustments)
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 ()

Protected Member Functions
void	preAdjustValuesImpl () override
void	postAdjustValuesImpl () override
Protected Member Functions inherited from DiscretizedAsset
bool	isOnTime (Time t) const

Private Member Functions
void	addFixedCoupon (Size i)
void	addFloatingCoupon (Size i)

Private Attributes
VanillaSwap::arguments	arguments_
std::vector< Time >	fixedResetTimes_
std::vector< Time >	fixedPayTimes_
std::vector< CouponAdjustment >	fixedCouponAdjustments_
std::vector< bool >	fixedResetTimeIsInPast_
std::vector< Time >	floatingResetTimes_
std::vector< Time >	floatingPayTimes_
std::vector< CouponAdjustment >	floatingCouponAdjustments_
std::vector< bool >	floatingResetTimeIsInPast_

Additional Inherited Members
Protected Types inherited from DiscretizedAsset
enum class	CouponAdjustment { pre , post }
Protected Attributes inherited from DiscretizedAsset
Time	time_
Time	latestPreAdjustment_
Time	latestPostAdjustment_
Array	values_

Detailed Description

Definition at line 34 of file discretizedswap.hpp.

Constructor & Destructor Documentation

DiscretizedSwap() [1/2]

DiscretizedSwap	(	const VanillaSwap::arguments &	args,
		const Date &	referenceDate,
		const DayCounter &	dayCounter
	)

Definition at line 36 of file discretizedswap.cpp.

DiscretizedSwap() [2/2]

DiscretizedSwap	(	const VanillaSwap::arguments &	args,
		const Date &	referenceDate,
		const DayCounter &	dayCounter,
		std::vector< CouponAdjustment >	fixedCouponAdjustments,
		std::vector< CouponAdjustment >	floatingCouponAdjustments
	)

Definition at line 46 of file discretizedswap.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.

Implements DiscretizedAsset.

Definition at line 97 of file discretizedswap.cpp.

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mandatoryTimes()

std::vector< Time > mandatoryTimes ( ) const

overridevirtual

This method returns the times at which the numerical method should stop while rolling back the asset. Typical examples include payment times, exercise times and such.

Note

The returned values are not guaranteed to be sorted.

Implements DiscretizedAsset.

Definition at line 102 of file discretizedswap.cpp.

preAdjustValuesImpl()

void preAdjustValuesImpl ( )

overrideprotectedvirtual

This method performs the actual pre-adjustment

Reimplemented from DiscretizedAsset.

Definition at line 123 of file discretizedswap.cpp.

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postAdjustValuesImpl()

void postAdjustValuesImpl ( )

overrideprotectedvirtual

This method performs the actual post-adjustment

Reimplemented from DiscretizedAsset.

Definition at line 140 of file discretizedswap.cpp.

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addFixedCoupon()

void addFixedCoupon ( Size  i )

private

Definition at line 184 of file discretizedswap.cpp.

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addFloatingCoupon()

void addFloatingCoupon ( Size  i )

private

Definition at line 199 of file discretizedswap.cpp.

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Member Data Documentation

arguments_

VanillaSwap::arguments arguments_

private

Definition at line 53 of file discretizedswap.hpp.

fixedResetTimes_

std::vector<Time> fixedResetTimes_

private

Definition at line 54 of file discretizedswap.hpp.

fixedPayTimes_

std::vector<Time> fixedPayTimes_

private

Definition at line 55 of file discretizedswap.hpp.

fixedCouponAdjustments_

std::vector<CouponAdjustment> fixedCouponAdjustments_

private

Definition at line 56 of file discretizedswap.hpp.

fixedResetTimeIsInPast_

std::vector<bool> fixedResetTimeIsInPast_

private

Definition at line 57 of file discretizedswap.hpp.

floatingResetTimes_

std::vector<Time> floatingResetTimes_

private

Definition at line 58 of file discretizedswap.hpp.

floatingPayTimes_

std::vector<Time> floatingPayTimes_

private

Definition at line 59 of file discretizedswap.hpp.

floatingCouponAdjustments_

std::vector<CouponAdjustment> floatingCouponAdjustments_

private

Definition at line 60 of file discretizedswap.hpp.

floatingResetTimeIsInPast_

std::vector<bool> floatingResetTimeIsInPast_

private

Definition at line 61 of file discretizedswap.hpp.