Class MarketModelComposite

Composition of two or more market-model products

Instances of this class build a market-model product by composing one or more subproducts.

All subproducts must have the same rate times.

Hierarchy

MarketModelMultiProduct
- MarketModelComposite
  - SingleProductComposite

Index

Classes

Constructors

constructor

Properties

Methods

Constructors

constructor

new MarketModelComposite(): MarketModelComposite

- Defined in ql/models/marketmodels/products/compositeproduct.ts:20
Returns MarketModelComposite

Properties

Protected _allEvolutionTimes

_allEvolutionTimes: Time[][]

Protected _cashflowTimes

_cashflowTimes: Time[]

Protected _components

_components: SubProduct[]

Protected _currentIndex

_currentIndex: Size

Protected _evolution

_evolution: EvolutionDescription

Protected _evolutionTimes

_evolutionTimes: Time[]

Protected _finalized

_finalized: boolean

Protected _isInSubset

_isInSubset: boolean[][]

Protected _rateTimes

_rateTimes: Time[]

Methods

add

add(product: MarketModelMultiProduct, multiplier?: Real): void

- Defined in ql/models/marketmodels/products/compositeproduct.ts:55
Parameters
- product: MarketModelMultiProduct
- Default value multiplier: Real = 1
Returns void

clone

clone(): MarketModelMultiProduct

Inherited from MarketModelMultiProduct.clone
- Defined in ql/models/marketmodels/multiproduct.ts:52
Returns MarketModelMultiProduct

evolution

evolution(): EvolutionDescription

Overrides MarketModelMultiProduct.evolution
- Defined in ql/models/marketmodels/products/compositeproduct.ts:26
Returns EvolutionDescription

finalize

finalize(): void

- Defined in ql/models/marketmodels/products/compositeproduct.ts:81
Returns void

item

item(i: Size): MarketModelMultiProduct

- Defined in ql/models/marketmodels/products/compositeproduct.ts:149
Parameters
- i: Size
Returns MarketModelMultiProduct

maxNumberOfCashFlowsPerProductPerStep

maxNumberOfCashFlowsPerProductPerStep(): Size

Inherited from MarketModelMultiProduct.maxNumberOfCashFlowsPerProductPerStep
- Defined in ql/models/marketmodels/multiproduct.ts:41
Returns Size

multiplier

multiplier(i: Size): Real

- Defined in ql/models/marketmodels/products/compositeproduct.ts:152
Parameters
- i: Size
Returns Real

nextTimeStep

nextTimeStep(currentState: CurveState, numberCashFlowsThisStep: Size[], cashFlowsGenerated: CashFlow[][]): boolean

Inherited from MarketModelMultiProduct.nextTimeStep
- Defined in ql/models/marketmodels/multiproduct.ts:47
Parameters
- currentState: CurveState
- numberCashFlowsThisStep: Size[]
- cashFlowsGenerated: CashFlow[][]
Returns boolean

numberOfProducts

numberOfProducts(): Size

Inherited from MarketModelMultiProduct.numberOfProducts
- Defined in ql/models/marketmodels/multiproduct.ts:38
Returns Size

possibleCashFlowTimes

possibleCashFlowTimes(): Time[]

Overrides MarketModelMultiProduct.possibleCashFlowTimes
- Defined in ql/models/marketmodels/products/compositeproduct.ts:40
Returns Time[]

reset

reset(): void

Overrides MarketModelMultiProduct.reset
- Defined in ql/models/marketmodels/products/compositeproduct.ts:47
Returns void

size

size(): Size

- Defined in ql/models/marketmodels/products/compositeproduct.ts:146
Returns Size

subtract

subtract(product: MarketModelMultiProduct, multiplier?: Real): void

- Defined in ql/models/marketmodels/products/compositeproduct.ts:77
Parameters
- product: MarketModelMultiProduct
- Default value multiplier: Real = 1
Returns void

suggestedNumeraires

suggestedNumeraires(): Size[]

Overrides MarketModelMultiProduct.suggestedNumeraires
- Defined in ql/models/marketmodels/products/compositeproduct.ts:33
Returns Size[]