#include <multisteppathwisewrapper.hpp>

Inheritance diagram for MultiProductPathwiseWrapper:

Collaboration diagram for MultiProductPathwiseWrapper:

Public Member Functions
	MultiProductPathwiseWrapper (const MarketModelPathwiseMultiProduct &innerProduct_)

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...

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...

Private Attributes
Clone< MarketModelPathwiseMultiProduct >	innerProduct_

std::vector< std::vector< MarketModelPathwiseMultiProduct::CashFlow > >	cashFlowsGenerated_

Size	numberOfProducts_

Detailed Description

MultiStepPathwiseWrapper Pathwise products do everything that ordinary products do and more. This lets you treat a pathwise product as an ordinary product. So you only have to write the product once.

Tested in MarketModels::testInverseFloater()

Definition at line 39 of file multisteppathwisewrapper.hpp.

Constructor & Destructor Documentation

◆ MultiProductPathwiseWrapper()

MultiProductPathwiseWrapper ( const MarketModelPathwiseMultiProduct & innerProduct_ )

Definition at line 27 of file multisteppathwisewrapper.cpp.

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Member Function Documentation

◆ possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 37 of file multisteppathwisewrapper.cpp.

◆ numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 42 of file multisteppathwisewrapper.cpp.

◆ maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelMultiProduct.

Definition at line 47 of file multisteppathwisewrapper.cpp.

◆ reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelMultiProduct.

Definition at line 52 of file multisteppathwisewrapper.cpp.

◆ nextTimeStep()

bool nextTimeStep	(	const CurveState &	currentState,
		std::vector< Size > &	numberCashFlowsThisStep,
		std::vector< std::vector< CashFlow > > &	cashFlowsGenerated
	)