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Class MarketModelPathwiseMultiCaplet

market-model pathwise caplet

implementation of path wise methodology for caplets, essentially a test class since we have better ways of computing Greeks of caplets

used in MarketModelTest::testPathwiseVegas and MarketModelTest::testPathwiseGreeks

Hierarchy

Index

Classes

Constructors

Properties

Methods

Constructors

constructor

Properties

Private _accruals

_accruals: Real[]

Private _currentIndex

_currentIndex: Size

Private _evolution

_evolution: EvolutionDescription

Private _numberRates

_numberRates: Size

Private _paymentTimes

_paymentTimes: Time[]

Private _rateTimes

_rateTimes: Real[]

Private _strikes

_strikes: Rate[]

Methods

alreadyDeflated

  • alreadyDeflated(): boolean

clone

evolution

maxNumberOfCashFlowsPerProductPerStep

  • maxNumberOfCashFlowsPerProductPerStep(): Size

nextTimeStep

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

numberOfProducts

  • numberOfProducts(): Size

possibleCashFlowTimes

  • possibleCashFlowTimes(): Time[]

reset

  • reset(): void

suggestedNumeraires

  • suggestedNumeraires(): Size[]