Class MarketModelCashRebate

Class to model receipt of a fixed cash amount once. Product terminates immediately. Mainly useful as rebate received when another product is cancelled.

Hierarchy

MarketModelMultiProduct
- MarketModelCashRebate

Index

Classes

CashFlow

Constructors

constructor

Properties

Methods

Constructors

constructor

new MarketModelCashRebate(evolution: EvolutionDescription, paymentTimes: Time[], amounts: Matrix, numberOfProducts: Size): MarketModelCashRebate

- Defined in ql/models/marketmodels/products/multistep/cashrebate.ts:17
Parameters
- evolution: EvolutionDescription
- paymentTimes: Time[]
- amounts: Matrix
- numberOfProducts: Size
Returns MarketModelCashRebate

Properties

Private _amounts

_amounts: Matrix

Private _currentIndex

_currentIndex: Size

Private _evolution

_evolution: EvolutionDescription

Private _numberOfProducts

_numberOfProducts: Size

Private _paymentTimes

_paymentTimes: Time[]

Methods

clone

clone(): MarketModelMultiProduct

Overrides MarketModelMultiProduct.clone
- Defined in ql/models/marketmodels/products/multistep/cashrebate.ts:82
Returns MarketModelMultiProduct

evolution

evolution(): EvolutionDescription

Overrides MarketModelMultiProduct.evolution
- Defined in ql/models/marketmodels/products/multistep/cashrebate.ts:50
Returns EvolutionDescription

maxNumberOfCashFlowsPerProductPerStep

maxNumberOfCashFlowsPerProductPerStep(): Size

Overrides MarketModelMultiProduct.maxNumberOfCashFlowsPerProductPerStep
- Defined in ql/models/marketmodels/products/multistep/cashrebate.ts:62
Returns Size

nextTimeStep

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

Overrides MarketModelMultiProduct.nextTimeStep
- Defined in ql/models/marketmodels/products/multistep/cashrebate.ts:70
Parameters
- currentState: CurveState
- numberCashFlowsThisStep: Size[]
- genCashFlows: CashFlow[][]
Returns boolean

numberOfProducts

numberOfProducts(): Size

Overrides MarketModelMultiProduct.numberOfProducts
- Defined in ql/models/marketmodels/products/multistep/cashrebate.ts:58
Returns Size

possibleCashFlowTimes

possibleCashFlowTimes(): Time[]

Overrides MarketModelMultiProduct.possibleCashFlowTimes
- Defined in ql/models/marketmodels/products/multistep/cashrebate.ts:54
Returns Time[]

reset

reset(): void

Overrides MarketModelMultiProduct.reset
- Defined in ql/models/marketmodels/products/multistep/cashrebate.ts:66
Returns void

suggestedNumeraires

suggestedNumeraires(): Size[]

Overrides MarketModelMultiProduct.suggestedNumeraires
- Defined in ql/models/marketmodels/products/multistep/cashrebate.ts:46
Returns Size[]