Class ExerciseAdapter

Hierarchy

MultiProductMultiStep
- ExerciseAdapter

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new ExerciseAdapter(exercise: MarketModelExerciseValue, numberOfProducts?: Size): ExerciseAdapter

Overrides MultiProductMultiStep.constructor
- Defined in ql/models/marketmodels/products/multistep/exerciseadapter.ts:12
Parameters
- exercise: MarketModelExerciseValue
- Default value numberOfProducts: Size = 1
Returns ExerciseAdapter

Properties

Private _currentIndex

_currentIndex: Size

Protected _evolution

_evolution: EvolutionDescription

Private _exercise

_exercise: MarketModelExerciseValue

Private _isExerciseTime

_isExerciseTime: boolean[]

Private _numberOfProducts

_numberOfProducts: Size

Protected _rateTimes

_rateTimes: Time[]

Methods

clone

clone(): MarketModelMultiProduct

Overrides MarketModelMultiProduct.clone
- Defined in ql/models/marketmodels/products/multistep/exerciseadapter.ts:59
Returns MarketModelMultiProduct

evolution

evolution(): EvolutionDescription

Overrides MultiProductMultiStep.evolution
- Defined in ql/models/marketmodels/products/multistep/exerciseadapter.ts:28
Returns EvolutionDescription

exerciseValue

exerciseValue(): MarketModelExerciseValue

- Defined in ql/models/marketmodels/products/multistep/exerciseadapter.ts:63
Returns MarketModelExerciseValue

maxNumberOfCashFlowsPerProductPerStep

maxNumberOfCashFlowsPerProductPerStep(): Size

Overrides MarketModelMultiProduct.maxNumberOfCashFlowsPerProductPerStep
- Defined in ql/models/marketmodels/products/multistep/exerciseadapter.ts:32
Returns Size

nextTimeStep

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

Overrides MarketModelMultiProduct.nextTimeStep
- Defined in ql/models/marketmodels/products/multistep/exerciseadapter.ts:41
Parameters
- currentState: CurveState
- numberCashFlowsThisStep: Size[]
- generatedCashFlows: CashFlow[][]
Returns boolean

numberOfProducts

numberOfProducts(): Size

Overrides MarketModelMultiProduct.numberOfProducts
- Defined in ql/models/marketmodels/products/multistep/exerciseadapter.ts:24
Returns Size

possibleCashFlowTimes

possibleCashFlowTimes(): Time[]

Overrides MarketModelMultiProduct.possibleCashFlowTimes
- Defined in ql/models/marketmodels/products/multistep/exerciseadapter.ts:20
Returns Time[]

reset

reset(): void

Overrides MarketModelMultiProduct.reset
- Defined in ql/models/marketmodels/products/multistep/exerciseadapter.ts:36
Returns void

suggestedNumeraires

suggestedNumeraires(): Size[]

Inherited from MultiProductMultiStep.suggestedNumeraires

Overrides MarketModelMultiProduct.suggestedNumeraires
- Defined in ql/models/marketmodels/products/multiproductmultistep.ts:36
Returns Size[]