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Class MarketModelPathwiseInverseFloater

Pathwise product inverse floater for doing Greeks

Tested in MarketModels::testInverseFloater()

Hierarchy

Index

Classes

Constructors

Properties

Methods

Constructors

constructor

  • Parameters

    • rateTimes: Time[]
    • fixedAccruals: Real[]
    • floatingAccruals: Real[]
    • fixedStrikes: Real[]
    • fixedMultipliers: Real[]
    • floatingSpreads: Real[]
    • paymentTimes: Time[]
    • Default value payer: boolean = true

    Returns MarketModelPathwiseInverseFloater

Properties

Private _currentIndex

_currentIndex: Size

Private _evolution

_evolution: EvolutionDescription

Private _fixedAccruals

_fixedAccruals: Real[]

Private _fixedMultipliers

_fixedMultipliers: Real[]

Private _fixedStrikes

_fixedStrikes: Real[]

Private _floatingAccruals

_floatingAccruals: Real[]

Private _floatingSpreads

_floatingSpreads: Real[]

Private _lastIndex

_lastIndex: Size

Private _multiplier

_multiplier: Real

Private _paymentTimes

_paymentTimes: Time[]

Private _rateTimes

_rateTimes: Real[]

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[]