MultiStepRatchet Class Reference

#include <multistepratchet.hpp>

Inheritance diagram for MultiStepRatchet:

Collaboration diagram for MultiStepRatchet:

Public Member Functions
	MultiStepRatchet (const std::vector< Time > &rateTimes, std::vector< Real > accruals, const std::vector< Time > &paymentTimes, Real gearingOfFloor, Real gearingOfFixing, Rate spreadOfFloor, Rate spreadOfFixing, Real initialFloor, bool payer=true)
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 >	accruals_
std::vector< Time >	paymentTimes_
Real	gearingOfFloor_
Real	gearingOfFixing_
Rate	spreadOfFloor_
Rate	spreadOfFixing_
Real	multiplier_
Size	lastIndex_
Real	initialFloor_
Real	floor_
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 27 of file multistepratchet.hpp.

Constructor & Destructor Documentation

MultiStepRatchet()

MultiStepRatchet	(	const std::vector< Time > &	rateTimes,
		std::vector< Real >	accruals,
		const std::vector< Time > &	paymentTimes,
		Real	gearingOfFloor,
		Real	gearingOfFixing,
		Rate	spreadOfFloor,
		Rate	spreadOfFixing,
		Real	initialFloor,
		bool	payer = true
	)

Definition at line 28 of file multistepratchet.cpp.

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Member Function Documentation

possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 66 of file multistepratchet.hpp.

numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 70 of file multistepratchet.hpp.

maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 75 of file multistepratchet.hpp.

reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelMultiProduct.

Definition at line 79 of file multistepratchet.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 45 of file multistepratchet.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 69 of file multistepratchet.cpp.

Member Data Documentation

accruals_

std::vector<Real> accruals_

private

Definition at line 50 of file multistepratchet.hpp.

paymentTimes_

std::vector<Time> paymentTimes_

private

Definition at line 51 of file multistepratchet.hpp.

gearingOfFloor_

Real gearingOfFloor_

private

Definition at line 52 of file multistepratchet.hpp.

gearingOfFixing_

Real gearingOfFixing_

private

Definition at line 52 of file multistepratchet.hpp.

spreadOfFloor_

Rate spreadOfFloor_

private

Definition at line 53 of file multistepratchet.hpp.

spreadOfFixing_

Rate spreadOfFixing_

private

Definition at line 53 of file multistepratchet.hpp.

multiplier_

Real multiplier_

private

Definition at line 54 of file multistepratchet.hpp.

lastIndex_

Size lastIndex_

private

Definition at line 55 of file multistepratchet.hpp.

initialFloor_

Real initialFloor_

private

Definition at line 56 of file multistepratchet.hpp.

floor_

Real floor_

private

Definition at line 58 of file multistepratchet.hpp.

currentIndex_

Size currentIndex_

private

Definition at line 59 of file multistepratchet.hpp.