MultiStepPeriodCapletSwaptions Class Reference

#include <multistepperiodcapletswaptions.hpp>

Inheritance diagram for MultiStepPeriodCapletSwaptions:

Collaboration diagram for MultiStepPeriodCapletSwaptions:

Public Member Functions
	MultiStepPeriodCapletSwaptions (const std::vector< Time > &rateTimes, const std::vector< Time > &forwardOptionPaymentTimes, const std::vector< Time > &swaptionPaymentTimes, std::vector< ext::shared_ptr< StrikedTypePayoff > > forwardPayOffs, std::vector< ext::shared_ptr< StrikedTypePayoff > > swapPayOffs, Size period, Size offset)
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< Time >	paymentTimes_
std::vector< Time >	forwardOptionPaymentTimes_
std::vector< Time >	swaptionPaymentTimes_
std::vector< ext::shared_ptr< StrikedTypePayoff > >	forwardPayOffs_
std::vector< ext::shared_ptr< StrikedTypePayoff > >	swapPayOffs_
Size	lastIndex_
Size	period_
Size	offset_
Size	numberFRAs_
Size	numberBigFRAs_
Size	currentIndex_
Size	productIndex_
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 31 of file multistepperiodcapletswaptions.hpp.

Constructor & Destructor Documentation

MultiStepPeriodCapletSwaptions()

MultiStepPeriodCapletSwaptions	(	const std::vector< Time > &	rateTimes,
		const std::vector< Time > &	forwardOptionPaymentTimes,
		const std::vector< Time > &	swaptionPaymentTimes,
		std::vector< ext::shared_ptr< StrikedTypePayoff > >	forwardPayOffs,
		std::vector< ext::shared_ptr< StrikedTypePayoff > >	swapPayOffs,
		Size	period,
		Size	offset
	)

Definition at line 28 of file multistepperiodcapletswaptions.cpp.

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Member Function Documentation

possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 74 of file multistepperiodcapletswaptions.hpp.

numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 78 of file multistepperiodcapletswaptions.hpp.

maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 83 of file multistepperiodcapletswaptions.hpp.

reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelMultiProduct.

Definition at line 87 of file multistepperiodcapletswaptions.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 70 of file multistepperiodcapletswaptions.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 134 of file multistepperiodcapletswaptions.cpp.

Member Data Documentation

paymentTimes_

std::vector<Time> paymentTimes_

private

Definition at line 55 of file multistepperiodcapletswaptions.hpp.

forwardOptionPaymentTimes_

std::vector<Time> forwardOptionPaymentTimes_

private

Definition at line 56 of file multistepperiodcapletswaptions.hpp.

swaptionPaymentTimes_

std::vector<Time> swaptionPaymentTimes_

private

Definition at line 57 of file multistepperiodcapletswaptions.hpp.

forwardPayOffs_

std::vector<ext::shared_ptr<StrikedTypePayoff> > forwardPayOffs_

private

Definition at line 58 of file multistepperiodcapletswaptions.hpp.

swapPayOffs_

std::vector<ext::shared_ptr<StrikedTypePayoff> > swapPayOffs_

private

Definition at line 59 of file multistepperiodcapletswaptions.hpp.

lastIndex_

Size lastIndex_

private

Definition at line 60 of file multistepperiodcapletswaptions.hpp.

period_

Size period_

private

Definition at line 61 of file multistepperiodcapletswaptions.hpp.

offset_

Size offset_

private

Definition at line 62 of file multistepperiodcapletswaptions.hpp.

numberFRAs_

Size numberFRAs_

private

Definition at line 63 of file multistepperiodcapletswaptions.hpp.

numberBigFRAs_

Size numberBigFRAs_

private

Definition at line 64 of file multistepperiodcapletswaptions.hpp.

currentIndex_

Size currentIndex_

private

Definition at line 67 of file multistepperiodcapletswaptions.hpp.

productIndex_

Size productIndex_

private

Definition at line 68 of file multistepperiodcapletswaptions.hpp.