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multistepswaption.hpp
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multistepswaption.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Giorgio Facchinetti
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#ifndef quantlib_multistep_multistep_swaption_hpp
#define quantlib_multistep_multistep_swaption_hpp
#include <ql/models/marketmodels/products/multiproductmultistep.hpp>
#include <ql/shared_ptr.hpp>
namespace QuantLib {
class StrikedTypePayoff;
/*!
Price a swaption associated to a contiguous subset of rates. Useful only for
testing purposes. Steps through all rate times up to start of swap.
*/
class MultiStepSwaption : public MultiProductMultiStep {
public:
MultiStepSwaption(const std::vector<Time>& rateTimes,
Size startIndex,
Size endIndex,
ext::shared_ptr<StrikedTypePayoff> &);
//! \name MarketModelMultiProduct interface
//@{
std::vector<Time> possibleCashFlowTimes() const override;
Size numberOfProducts() const override;
Size maxNumberOfCashFlowsPerProductPerStep() const override;
void reset() override;
bool nextTimeStep(const CurveState& currentState,
std::vector<Size>& numberCashFlowsThisStep,
std::vector<std::vector<CashFlow> >& cashFlowsGenerated) override;
std::unique_ptr<MarketModelMultiProduct> clone() const override;
//@}
private:
Size startIndex_;
Size endIndex_;
ext::shared_ptr<StrikedTypePayoff> payoff_;
std::vector<Time> paymentTimes_;
// things that vary in a path
Size currentIndex_;
};
// Inline definitions
inline std::vector<Time>
MultiStepSwaption::possibleCashFlowTimes() const
{
return paymentTimes_;
}
inline Size MultiStepSwaption::numberOfProducts() const {
return 1UL;
}
inline Size
MultiStepSwaption::maxNumberOfCashFlowsPerProductPerStep() const {
return 1;
}
inline void MultiStepSwaption::reset()
{
currentIndex_=0;
}
}
#endif