Class CallSpecifiedMultiProduct

Namespace

NanoQL.Models

Assembly

NanoQL.dll

A callable product: the underlying's cash flows until the strategy calls it at an exercise time, the rebate's from then on; without a rebate, a cash rebate of 0 at the exercise times.

[WorkingType]
public class CallSpecifiedMultiProduct : MarketModelMultiProduct

Inheritance

object

MarketModelMultiProduct

CallSpecifiedMultiProduct

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

A working type, unsealed: QuantLib's upper-bound engine derives its decorated hedge from it. It steps its own clones of the underlying, the strategy and the rebate.

Its end (a documented divergence): QuantLib's end, with its underlying, is kept, but on an underlying with no possible cash-flow times (QuantLib's MultiStepNothing), which can't end it while an exercise time remains; a finished underlying isn't stepped again; and once ended with its underlying it stays ended, with no call and no cash flow. QuantLib's standalone Bermudan on MultiStepNothing, done at its first step, ends at once (Divergences/CallSpecifiedEndTests.cs).

Every count is zeroed at each step's start (a documented divergence): QuantLib writes none at a step where neither the underlying nor the rebate steps, so the engine adds the previous step's flows again (callspecifiedmultiproduct.cpp:144-167). A rebate of more products than the underlying, which writes past the buffers QuantLib sizes by the underlying's, is refused; a rebate of fewer pays its own products, the others nothing (the upper-bound engine's one-product rebate of a hedge of several, upperboundengine.cpp:124-125).

Constructors

CallSpecifiedMultiProduct(CallSpecifiedMultiProduct)

Initializes a new instance of the CallSpecifiedMultiProduct class: a deep copy.

protected CallSpecifiedMultiProduct(CallSpecifiedMultiProduct other)

Parameters

other CallSpecifiedMultiProduct

The product copied, its state included.

CallSpecifiedMultiProduct(MarketModelMultiProduct, ExerciseStrategy<CurveState>, MarketModelMultiProduct?)

Initializes a new instance of the CallSpecifiedMultiProduct class.

public CallSpecifiedMultiProduct(MarketModelMultiProduct underlying, ExerciseStrategy<CurveState> strategy, MarketModelMultiProduct? rebate = null)

Parameters

underlying MarketModelMultiProduct

The underlying, cloned.

strategy ExerciseStrategy<CurveState>

The exercise strategy, cloned.

rebate MarketModelMultiProduct

The rebate, cloned, on the underlying's rate times, of at most its products; null for a cash rebate of 0 at the exercise times.

Exceptions

ArgumentException

The rebate's rate times aren't the underlying's, or it has more products.

Properties

Evolution

Gets the product's evolution: its rate times and the times it steps at.

public override EvolutionDescription Evolution { get; }

Property Value

EvolutionDescription

Exceptions

NanoQLException

A composite isn't finalized.

MaxNumberOfCashFlowsPerProductPerStep

Gets the larger of the underlying's and the rebate's most cash flows at a step.

public override int MaxNumberOfCashFlowsPerProductPerStep { get; }

Property Value

int

NumberOfProducts

Gets the underlying's number of products.

public override int NumberOfProducts { get; }

Property Value

int

Rebate

Gets the rebate the product steps: its own clone.

public MarketModelMultiProduct Rebate { get; }

Property Value

MarketModelMultiProduct

Strategy

Gets the strategy the product steps: its own clone, at the product's point on the path.

public ExerciseStrategy<CurveState> Strategy { get; }

Property Value

ExerciseStrategy<CurveState>

Underlying

Gets the underlying the product steps: its own clone.

public MarketModelMultiProduct Underlying { get; }

Property Value

MarketModelMultiProduct

Methods

Clone()

A deep copy of the product, its state included.

public override MarketModelMultiProduct Clone()

Returns

MarketModelMultiProduct

A new product.

DisableCallability()

Stops the strategy from calling the product: it pays its underlying's cash flows.

public void DisableCallability()

EnableCallability()

Lets the strategy call the product, QuantLib's default.

public void EnableCallability()

NextTimeStep(CurveState, Span<int>, MarketModelMultiProductCashFlow[][])

Moves the product a step: writes each product's number of cash flows at this step and the cash flows.

public override bool NextTimeStep(CurveState currentState, Span<int> numberCashFlowsThisStep, MarketModelMultiProductCashFlow[][] cashFlowsGenerated)

Parameters

currentState CurveState

The state of the curve at the step's end.

numberCashFlowsThisStep Span<int>

Each product's number of cash flows, written; one entry a product.

cashFlowsGenerated MarketModelMultiProductCashFlow[][]

Each product's cash flows, written from the first; NumberOfProducts rows of at least MaxNumberOfCashFlowsPerProductPerStep.

Returns

bool

Whether the path is finished for the product.

PossibleCashFlowTimes()

The underlying's cash-flow times, then the rebate's.

public override ImmutableArray<double> PossibleCashFlowTimes()

Returns

ImmutableArray<double>

The times.

Reset()

Puts the product at the start of a path.

public override void Reset()

SuggestedNumeraires()

The underlying's suggested numeraires.

public override ImmutableArray<int> SuggestedNumeraires()

Returns

ImmutableArray<int>

The numeraires.