Class MultiStepPeriodCapletSwaptions

Hierarchy

MultiProductMultiStep
- MultiStepPeriodCapletSwaptions

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new MultiStepPeriodCapletSwaptions(rateTimes: Time[], forwardOptionPaymentTimes: Time[], swaptionPaymentTimes: Time[], forwardPayOffs: StrikedTypePayoff[], swapPayOffs: StrikedTypePayoff[], period: Size, offset: Size): MultiStepPeriodCapletSwaptions

Overrides MultiProductMultiStep.constructor
- Defined in ql/models/marketmodels/products/multistep/multistepperiodcapletswaptions.ts:12
Parameters
- rateTimes: Time[]
- forwardOptionPaymentTimes: Time[]
- swaptionPaymentTimes: Time[]
- forwardPayOffs: StrikedTypePayoff[]
- swapPayOffs: StrikedTypePayoff[]
- period: Size
- offset: Size
Returns MultiStepPeriodCapletSwaptions

Properties

Private _currentIndex

_currentIndex: Size

Protected _evolution

_evolution: EvolutionDescription

Private _forwardOptionPaymentTimes

_forwardOptionPaymentTimes: Time[]

Private _forwardPayOffs

_forwardPayOffs: StrikedTypePayoff[]

Private _numberBigFRAs

_numberBigFRAs: Size

Private _numberFRAs

_numberFRAs: Size

Private _offset

_offset: Size

Private _paymentTimes

_paymentTimes: Time[]

Private _period

_period: Size

Private _productIndex

_productIndex: Size

Protected _rateTimes

_rateTimes: Time[]

Private _swapPayOffs

_swapPayOffs: StrikedTypePayoff[]

Private _swaptionPaymentTimes

_swaptionPaymentTimes: Time[]

Methods

clone

clone(): MarketModelMultiProduct

Overrides MarketModelMultiProduct.clone
- Defined in ql/models/marketmodels/products/multistep/multistepperiodcapletswaptions.ts:164
Returns MarketModelMultiProduct

evolution

evolution(): EvolutionDescription

Inherited from MultiProductMultiStep.evolution

Overrides MarketModelMultiProduct.evolution
- Defined in ql/models/marketmodels/products/multiproductmultistep.ts:46
Returns EvolutionDescription

maxNumberOfCashFlowsPerProductPerStep

maxNumberOfCashFlowsPerProductPerStep(): Size

Overrides MarketModelMultiProduct.maxNumberOfCashFlowsPerProductPerStep
- Defined in ql/models/marketmodels/products/multistep/multistepperiodcapletswaptions.ts:85
Returns Size

nextTimeStep

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

Overrides MarketModelMultiProduct.nextTimeStep
- Defined in ql/models/marketmodels/products/multistep/multistepperiodcapletswaptions.ts:94
Parameters
- currentState: CurveState
- numberCashFlowsThisStep: Size[]
- genCashFlows: CashFlow[][]
Returns boolean

numberOfProducts

numberOfProducts(): Size

Overrides MarketModelMultiProduct.numberOfProducts
- Defined in ql/models/marketmodels/products/multistep/multistepperiodcapletswaptions.ts:81
Returns Size

possibleCashFlowTimes

possibleCashFlowTimes(): Time[]

Overrides MarketModelMultiProduct.possibleCashFlowTimes
- Defined in ql/models/marketmodels/products/multistep/multistepperiodcapletswaptions.ts:77
Returns Time[]

reset

reset(): void

Overrides MarketModelMultiProduct.reset
- Defined in ql/models/marketmodels/products/multistep/multistepperiodcapletswaptions.ts:89
Returns void

suggestedNumeraires

suggestedNumeraires(): Size[]

Inherited from MultiProductMultiStep.suggestedNumeraires

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