Class CallSpecifiedMultiProduct

Hierarchy

MarketModelMultiProduct
- CallSpecifiedMultiProduct
  - DecoratedHedge

Index

Classes

CashFlow

Constructors

constructor

Properties

Methods

Constructors

constructor

new CallSpecifiedMultiProduct(underlying: MarketModelMultiProduct, strategy: ExerciseStrategy, rebate?: MarketModelMultiProduct): CallSpecifiedMultiProduct

- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:16
Parameters
- underlying: MarketModelMultiProduct
- strategy: ExerciseStrategy
- Default value rebate: MarketModelMultiProduct = null
Returns CallSpecifiedMultiProduct

Properties

Private _callable

_callable: boolean

Private _cashFlowTimes

_cashFlowTimes: Time[]

Private _currentIndex

_currentIndex: Size

Private _dummyCashFlowsGenerated

_dummyCashFlowsGenerated: CashFlow[][]

Private _dummyCashFlowsThisStep

_dummyCashFlowsThisStep: Size[]

Private _evolution

_evolution: EvolutionDescription

Private _isPresent

_isPresent: boolean[][]

_rebate

_rebate: MarketModelMultiProduct

Private _rebateOffset

_rebateOffset: Size

_strategy

_strategy: ExerciseStrategy

_underlying

_underlying: MarketModelMultiProduct

Private _wasCalled

_wasCalled: boolean

Methods

clone

clone(): MarketModelMultiProduct

Overrides MarketModelMultiProduct.clone
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:153
Returns MarketModelMultiProduct

disableCallability

disableCallability(): void

- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:174
Returns void

enableCallability

enableCallability(): void

- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:170
Returns void

evolution

evolution(): EvolutionDescription

Overrides MarketModelMultiProduct.evolution
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:81
Returns EvolutionDescription

maxNumberOfCashFlowsPerProductPerStep

maxNumberOfCashFlowsPerProductPerStep(): Size

Overrides MarketModelMultiProduct.maxNumberOfCashFlowsPerProductPerStep
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:93
Returns Size

nextTimeStep

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

Overrides MarketModelMultiProduct.nextTimeStep
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:107
Parameters
- currentState: CurveState
- numberCashFlowsThisStep: Size[]
- cashFlowsGenerated: CashFlow[][]
Returns boolean

numberOfProducts

numberOfProducts(): Size

Overrides MarketModelMultiProduct.numberOfProducts
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:89
Returns Size

possibleCashFlowTimes

possibleCashFlowTimes(): Time[]

Overrides MarketModelMultiProduct.possibleCashFlowTimes
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:85
Returns Time[]

rebate

rebate(): MarketModelMultiProduct

- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:166
Returns MarketModelMultiProduct

reset

reset(): void

Overrides MarketModelMultiProduct.reset
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:99
Returns void

strategy

strategy(): ExerciseStrategy

- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:162
Returns ExerciseStrategy

suggestedNumeraires

suggestedNumeraires(): Size[]

Overrides MarketModelMultiProduct.suggestedNumeraires
- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:77
Returns Size[]

underlying

underlying(): MarketModelMultiProduct

- Defined in ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.ts:158
Returns MarketModelMultiProduct