Class MarketModelPathwiseCashRebate

Swap for doing simple cash rebate. Fairly useless when used directly, but if we want to look a breakable swap it becomes useful.

Hierarchy

MarketModelPathwiseMultiProduct
- MarketModelPathwiseCashRebate

Index

Classes

CashFlow

Constructors

constructor

Properties

Methods

Constructors

constructor

new MarketModelPathwiseCashRebate(evolution: EvolutionDescription, paymentTimes: Time[], amounts: Matrix, numberOfProducts: Size): MarketModelPathwiseCashRebate

- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.ts:17
Parameters
- evolution: EvolutionDescription
- paymentTimes: Time[]
- amounts: Matrix
- numberOfProducts: Size
Returns MarketModelPathwiseCashRebate

Properties

Private _amounts

_amounts: Matrix

Private _currentIndex

_currentIndex: Size

Private _evolution

_evolution: EvolutionDescription

Private _numberOfProducts

_numberOfProducts: Size

Private _paymentTimes

_paymentTimes: Time[]

Methods

alreadyDeflated

alreadyDeflated(): boolean

Overrides MarketModelPathwiseMultiProduct.alreadyDeflated
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.ts:93
Returns boolean

clone

clone(): MarketModelPathwiseMultiProduct

Overrides MarketModelPathwiseMultiProduct.clone
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.ts:87
Returns MarketModelPathwiseMultiProduct

evolution

evolution(): EvolutionDescription

Overrides MarketModelPathwiseMultiProduct.evolution
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.ts:50
Returns EvolutionDescription

maxNumberOfCashFlowsPerProductPerStep

maxNumberOfCashFlowsPerProductPerStep(): Size

Overrides MarketModelPathwiseMultiProduct.maxNumberOfCashFlowsPerProductPerStep
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.ts:62
Returns Size

nextTimeStep

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

Overrides MarketModelPathwiseMultiProduct.nextTimeStep
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.ts:70
Parameters
- currentState: CurveState
- numberCashFlowsThisStep: Size[]
- cashFlowsGenerated: CashFlow[][]
Returns boolean

numberOfProducts

numberOfProducts(): Size

Overrides MarketModelPathwiseMultiProduct.numberOfProducts
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.ts:58
Returns Size

possibleCashFlowTimes

possibleCashFlowTimes(): Time[]

Overrides MarketModelPathwiseMultiProduct.possibleCashFlowTimes
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.ts:54
Returns Time[]

reset

reset(): void

Overrides MarketModelPathwiseMultiProduct.reset
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.ts:66
Returns void

suggestedNumeraires

suggestedNumeraires(): Size[]

Overrides MarketModelPathwiseMultiProduct.suggestedNumeraires
- Defined in ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.ts:46
Returns Size[]