Class MultiStepSwaption

Price a swaption associated to a contiguous subset of rates. Useful only for testing purposes. Steps through all rate times up to start of swap.

Hierarchy

MultiProductMultiStep
- MultiStepSwaption

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new MultiStepSwaption(rateTimes: Time[], startIndex: Size, endIndex: Size, payoff: StrikedTypePayoff): MultiStepSwaption

Overrides MultiProductMultiStep.constructor
- Defined in ql/models/marketmodels/products/multistep/multistepswaption.ts:15
Parameters
- rateTimes: Time[]
- startIndex: Size
- endIndex: Size
- payoff: StrikedTypePayoff
Returns MultiStepSwaption

Properties

Private _currentIndex

_currentIndex: Size

Private _endIndex

_endIndex: Size

Protected _evolution

_evolution: EvolutionDescription

Private _paymentTimes

_paymentTimes: Time[]

Private _payoff

_payoff: StrikedTypePayoff

Protected _rateTimes

_rateTimes: Time[]

Private _startIndex

_startIndex: Size

Methods

clone

clone(): MarketModelMultiProduct

Overrides MarketModelMultiProduct.clone
- Defined in ql/models/marketmodels/products/multistep/multistepswaption.ts:74
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/multistepswaption.ts:42
Returns Size

nextTimeStep

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

Overrides MarketModelMultiProduct.nextTimeStep
- Defined in ql/models/marketmodels/products/multistep/multistepswaption.ts:50
Parameters
- currentState: CurveState
- numberCashFlowsThisStep: Size[]
- genCashFlows: CashFlow[][]
Returns boolean

numberOfProducts

numberOfProducts(): Size

Overrides MarketModelMultiProduct.numberOfProducts
- Defined in ql/models/marketmodels/products/multistep/multistepswaption.ts:38
Returns Size

possibleCashFlowTimes

possibleCashFlowTimes(): Time[]

Overrides MarketModelMultiProduct.possibleCashFlowTimes
- Defined in ql/models/marketmodels/products/multistep/multistepswaption.ts:34
Returns Time[]

reset

reset(): void

Overrides MarketModelMultiProduct.reset
- Defined in ql/models/marketmodels/products/multistep/multistepswaption.ts:46
Returns void

suggestedNumeraires

suggestedNumeraires(): Size[]

Inherited from MultiProductMultiStep.suggestedNumeraires

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