#include <ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.hpp>

Inheritance diagram for MarketModelPathwiseCashRebate:

Collaboration diagram for MarketModelPathwiseCashRebate:

Public Member Functions
	MarketModelPathwiseCashRebate (EvolutionDescription evolution, const std::vector< Time > &paymentTimes, Matrix amounts, Size numberOfProducts)

std::vector< Size >	suggestedNumeraires () const override

const EvolutionDescription &	evolution () const override

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	alreadyDeflated () const override

bool	nextTimeStep (const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< MarketModelPathwiseMultiProduct::CashFlow > > &cashFlowsGenerated) override
	return value indicates whether path is finished, TRUE means done More...

std::unique_ptr< MarketModelPathwiseMultiProduct >	clone () const override
	returns a newly-allocated copy of itself More...

Public Member Functions inherited from MarketModelPathwiseMultiProduct
virtual	~MarketModelPathwiseMultiProduct ()=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 bool	alreadyDeflated () 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< MarketModelPathwiseMultiProduct::CashFlow > > &cashFlowsGenerated)=0
	return value indicates whether path is finished, TRUE means done More...

virtual std::unique_ptr< MarketModelPathwiseMultiProduct >	clone () const =0
	returns a newly-allocated copy of itself More...

Private Attributes
EvolutionDescription	evolution_

std::vector< Time >	paymentTimes_

Matrix	amounts_

Size	numberOfProducts_

Size	currentIndex_

Detailed Description

Swap for doing simple cash rebate. Fairly useless when used directly, but if we want to look a breakable swap it becomes useful.

Definition at line 42 of file pathwiseproductcashrebate.hpp.

Constructor & Destructor Documentation

◆ MarketModelPathwiseCashRebate()

MarketModelPathwiseCashRebate	(	EvolutionDescription	evolution,
		const std::vector< Time > &	paymentTimes,
		Matrix	amounts,
		Size	numberOfProducts
	)

Definition at line 34 of file pathwiseproductcashrebate.cpp.

Here is the call graph for this function:

Member Function Documentation

◆ suggestedNumeraires()

std::vector< Size > suggestedNumeraires ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 78 of file pathwiseproductcashrebate.cpp.

◆ evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 83 of file pathwiseproductcashrebate.cpp.

◆ possibleCashFlowTimes()

std::vector< Time > possibleCashFlowTimes ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 57 of file pathwiseproductcashrebate.cpp.

◆ numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 62 of file pathwiseproductcashrebate.cpp.

◆ maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 67 of file pathwiseproductcashrebate.cpp.

◆ reset()

void reset ( )

overridevirtual

during simulation put product at start of path

Implements MarketModelPathwiseMultiProduct.

Definition at line 72 of file pathwiseproductcashrebate.cpp.

◆ alreadyDeflated()

bool alreadyDeflated ( ) const

overridevirtual

Implements MarketModelPathwiseMultiProduct.

Definition at line 29 of file pathwiseproductcashrebate.cpp.

◆ nextTimeStep()

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