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"ql/models/marketmodels/products/multistep/multisteptarn"
MultiStepTarn
Class MultiStepTarn
Hierarchy
MultiProductMultiStep
MultiStepTarn
Index
Constructors
constructor
Properties
_accruals
_accruals
Floating
_all
Payment
Times
_coupon
Paid
_current
Index
_evolution
_floating
Spreads
_last
Index
_multipliers
_payment
Times
_payment
Times
Floating
_rate
Times
_strikes
_total
Coupon
Methods
clone
evolution
max
Number
OfCash
Flows
Per
Product
Per
Step
next
Time
Step
number
OfProducts
possible
Cash
Flow
Times
reset
suggested
Numeraires
Constructors
constructor
new
Multi
Step
Tarn
(
rateTimes
:
Time
[]
, accruals
:
Real
[]
, accrualsFloating
:
Real
[]
, paymentTimes
:
Time
[]
, paymentTimesFloating
:
Time
[]
, totalCoupon
:
Real
, strikes
:
Real
[]
, multipliers
:
Real
[]
, floatingSpreads
:
Real
[]
)
:
MultiStepTarn
Parameters
rateTimes:
Time
[]
accruals:
Real
[]
accrualsFloating:
Real
[]
paymentTimes:
Time
[]
paymentTimesFloating:
Time
[]
totalCoupon:
Real
strikes:
Real
[]
multipliers:
Real
[]
floatingSpreads:
Real
[]
Returns
MultiStepTarn
Properties
Private
_accruals
_accruals
:
Real
[]
Private
_accruals
Floating
_accruals
Floating
:
Real
[]
Private
_all
Payment
Times
_all
Payment
Times
:
Time
[]
Private
_coupon
Paid
_coupon
Paid
:
Real
Private
_current
Index
_current
Index
:
Size
Protected
_evolution
_evolution
:
EvolutionDescription
Private
_floating
Spreads
_floating
Spreads
:
Real
[]
Private
_last
Index
_last
Index
:
Size
Private
_multipliers
_multipliers
:
Real
[]
Private
_payment
Times
_payment
Times
:
Time
[]
Private
_payment
Times
Floating
_payment
Times
Floating
:
Time
[]
Protected
_rate
Times
_rate
Times
:
Time
[]
Private
_strikes
_strikes
:
Real
[]
Private
_total
Coupon
_total
Coupon
:
Real
Methods
clone
clone
(
)
:
MarketModelMultiProduct
Returns
MarketModelMultiProduct
evolution
evolution
(
)
:
EvolutionDescription
Returns
EvolutionDescription
max
Number
OfCash
Flows
Per
Product
Per
Step
max
Number
OfCash
Flows
Per
Product
Per
Step
(
)
:
Size
Returns
Size
next
Time
Step
next
Time
Step
(
currentState
:
CurveState
, numberCashFlowsThisStep
:
Size
[]
, genCashFlows
:
CashFlow
[]
[]
)
:
boolean
Parameters
currentState:
CurveState
numberCashFlowsThisStep:
Size
[]
genCashFlows:
CashFlow
[]
[]
Returns
boolean
number
OfProducts
number
OfProducts
(
)
:
Size
Returns
Size
possible
Cash
Flow
Times
possible
Cash
Flow
Times
(
)
:
Time
[]
Returns
Time
[]
reset
reset
(
)
:
void
Returns
void
suggested
Numeraires
suggested
Numeraires
(
)
:
Size
[]
Returns
Size
[]
Globals
"ql/models/marketmodels/products/multistep/multisteptarn"
Multi
Step
Tarn
constructor
_accruals
_accruals
Floating
_all
Payment
Times
_coupon
Paid
_current
Index
_evolution
_floating
Spreads
_last
Index
_multipliers
_payment
Times
_payment
Times
Floating
_rate
Times
_strikes
_total
Coupon
clone
evolution
max
Number
OfCash
Flows
Per
Product
Per
Step
next
Time
Step
number
OfProducts
possible
Cash
Flow
Times
reset
suggested
Numeraires