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"ql/models/marketmodels/products/onestep/onestepoptionlets"
OneStepOptionlets
Class OneStepOptionlets
Hierarchy
MultiProductOneStep
OneStepOptionlets
Index
Constructors
constructor
Properties
_accruals
_evolution
_payment
Times
_payoffs
_rate
Times
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
One
Step
Optionlets
(
rateTimes
:
Time
[]
, accruals
:
Real
[]
, paymentTimes
:
Time
[]
, payoff
:
Payoff
[]
)
:
OneStepOptionlets
Parameters
rateTimes:
Time
[]
accruals:
Real
[]
paymentTimes:
Time
[]
payoff:
Payoff
[]
Returns
OneStepOptionlets
Properties
Private
_accruals
_accruals
:
Real
[]
Protected
_evolution
_evolution
:
EvolutionDescription
Private
_payment
Times
_payment
Times
:
Time
[]
Private
_payoffs
_payoffs
:
Payoff
[]
Protected
_rate
Times
_rate
Times
:
Time
[]
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/onestep/onestepoptionlets"
One
Step
Optionlets
constructor
_accruals
_evolution
_payment
Times
_payoffs
_rate
Times
clone
evolution
max
Number
OfCash
Flows
Per
Product
Per
Step
next
Time
Step
number
OfProducts
possible
Cash
Flow
Times
reset
suggested
Numeraires