MarketModelPathwiseMultiDeflatedCap

MarketModelPathwiseMultiDeflatedCap to price several caps and get their derivatives simultaneously. Mainly useful for testing pathwise market vegas code.

Hierarchy

MarketModelPathwiseMultiProduct
- MarketModelPathwiseMultiDeflatedCap

Index

Classes

CashFlow

Constructors

constructor

Properties

Methods

Constructors

constructor

new MarketModelPathwiseMultiDeflatedCap(rateTimes: Time[], accruals: Real[], paymentTimes: Time[], strike: Rate, startsAndEnds: Array<[Size, Size]>): MarketModelPathwiseMultiDeflatedCap

- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.ts:292
Parameters
- rateTimes: Time[]
- accruals: Real[]
- paymentTimes: Time[]
- strike: Rate
- startsAndEnds: Array<[Size, Size]>
Returns MarketModelPathwiseMultiDeflatedCap

Properties

Private _innerCashFlowSizes

_innerCashFlowSizes: Size[]

Private _innerCashFlowsGenerated

_innerCashFlowsGenerated: CashFlow[][]

Private _numberRates

_numberRates: Size

Private _startsAndEnds

_startsAndEnds: Array<[Size, Size]>

Private _underlyingCaplets

_underlyingCaplets: MarketModelPathwiseMultiDeflatedCaplet

Methods

alreadyDeflated

alreadyDeflated(): boolean

Overrides MarketModelPathwiseMultiProduct.alreadyDeflated
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.ts:390
Returns boolean

clone

clone(): MarketModelPathwiseMultiProduct

Overrides MarketModelPathwiseMultiProduct.clone
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.ts:385
Returns MarketModelPathwiseMultiProduct

evolution

evolution(): EvolutionDescription

Overrides MarketModelPathwiseMultiProduct.evolution
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.ts:336
Returns EvolutionDescription

maxNumberOfCashFlowsPerProductPerStep

maxNumberOfCashFlowsPerProductPerStep(): Size

Overrides MarketModelPathwiseMultiProduct.maxNumberOfCashFlowsPerProductPerStep
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.ts:348
Returns Size

nextTimeStep

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

Overrides MarketModelPathwiseMultiProduct.nextTimeStep
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.ts:357
Parameters
- currentState: CurveState
- numberCashFlowsThisStep: Size[]
- cashFlowsGenerated: CashFlow[][]
Returns boolean

numberOfProducts

numberOfProducts(): Size

Overrides MarketModelPathwiseMultiProduct.numberOfProducts
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.ts:344
Returns Size

possibleCashFlowTimes

possibleCashFlowTimes(): Time[]

Overrides MarketModelPathwiseMultiProduct.possibleCashFlowTimes
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.ts:340
Returns Time[]

reset

reset(): void

Overrides MarketModelPathwiseMultiProduct.reset
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.ts:352
Returns void

suggestedNumeraires

suggestedNumeraires(): Size[]

Overrides MarketModelPathwiseMultiProduct.suggestedNumeraires
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.ts:332
Returns Size[]

Hierarchy

Index

Classes

Constructors

Properties

Methods

Constructors

constructor

Parameters

rateTimes: Time[]

accruals: Real[]

paymentTimes: Time[]

strike: Rate

startsAndEnds: Array<[Size, Size]>

Returns MarketModelPathwiseMultiDeflatedCap

Properties

Private _innerCashFlowSizes

Private _innerCashFlowsGenerated

Private _numberRates

Private _startsAndEnds

Private _underlyingCaplets

Methods

alreadyDeflated

Returns boolean

clone

Returns MarketModelPathwiseMultiProduct

evolution

Returns EvolutionDescription

maxNumberOfCashFlowsPerProductPerStep

Returns Size

nextTimeStep

Parameters

currentState: CurveState

numberCashFlowsThisStep: Size[]

cashFlowsGenerated: CashFlow[][]

Returns boolean

numberOfProducts

Returns Size

possibleCashFlowTimes

Returns Time[]

reset

Returns void

suggestedNumeraires

Returns Size[]