Table of Contents

Class MarketModelNodeDataProvider

Namespace
NanoQL.Models
Assembly
NanoQL.dll

The data a market-model callable product's exercise decision reads at each exercise: stepped along a path at its evolution's times, it fills the current exercise's values.

[WorkingType]
public abstract class MarketModelNodeDataProvider
Inheritance
MarketModelNodeDataProvider
Derived
Inherited Members

Remarks

A working type and an extension point: Reset() and NextStep(CurveState) change it, and it isn't thread-safe. Values(CurveState, Span<double>) fills a span of the current exercise's count of data, which QuantLib's resizes its caller's vector to.

Constructors

MarketModelNodeDataProvider() 

protected MarketModelNodeDataProvider()

Properties

Evolution

Gets the evolution: its rate times and the times it is stepped at, its exercise times included.

public abstract EvolutionDescription Evolution { get; }

Property Value

EvolutionDescription

NumberOfExercises

Gets the number of exercises.

public abstract int NumberOfExercises { get; }

Property Value

int

Methods

IsExerciseTime()

Whether each evolution time is an exercise time.

public abstract ImmutableArray<bool> IsExerciseTime()

Returns

ImmutableArray<bool>

One flag an evolution time.

NextStep(CurveState)

Moves to the next evolution time, in the given state.

public abstract void NextStep(CurveState currentState)

Parameters

currentState CurveState

The state.

NumberOfData()

The number of data at each exercise, possibly different for each.

public abstract ImmutableArray<int> NumberOfData()

Returns

ImmutableArray<int>

One count an exercise.

Reset()

Puts the provider at the start of a path.

public abstract void Reset()

Values(CurveState, Span<double>)

Writes the current exercise's data in the given state.

public abstract void Values(CurveState currentState, Span<double> results)

Parameters

currentState CurveState

The state.

results Span<double>

The data written, the current exercise's count of them.