Class MarketModelPathwiseCashRebate

Namespace

NanoQL.Models

Assembly

NanoQL.dll

The receipt of a fixed cash amount, once, for the pathwise engines: each step pays each product its amount for that step, its derivatives 0, and finishes the path.

[WorkingType]
public sealed class MarketModelPathwiseCashRebate : MarketModelPathwiseMultiProduct

Inheritance

object

MarketModelPathwiseMultiProduct

MarketModelPathwiseCashRebate

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

A working type; the amounts are copied at construction. A rebate stepped more often than its payment times is refused, where QuantLib reads past its amounts.

Constructors

MarketModelPathwiseCashRebate(EvolutionDescription, ReadOnlySpan<double>, Matrix, int)

Initializes a new instance of the MarketModelPathwiseCashRebate class.

public MarketModelPathwiseCashRebate(EvolutionDescription evolution, ReadOnlySpan<double> paymentTimes, Matrix amounts, int numberOfProducts)

Parameters

evolution EvolutionDescription

The evolution, one evolution time per payment time.

paymentTimes ReadOnlySpan<double>

The payment times, increasing.

amounts Matrix

The amounts, a row per product and a column per payment time.

numberOfProducts int

The number of products.

Exceptions

ArgumentException

The payment times aren't increasing, or the amounts or the evolution don't fit them and the products.

ArgumentOutOfRangeException

numberOfProducts is negative.

Properties

AlreadyDeflated

Gets false.

public override bool AlreadyDeflated { get; }

Property Value

bool

Evolution

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

public override EvolutionDescription Evolution { get; }

Property Value

EvolutionDescription

MaxNumberOfCashFlowsPerProductPerStep

Gets 1.

public override int MaxNumberOfCashFlowsPerProductPerStep { get; }

Property Value

int

NumberOfProducts

Gets the number of products.

public override int NumberOfProducts { get; }

Property Value

int

Methods

Clone()

A deep copy of the product, its state included.

public override MarketModelPathwiseMultiProduct Clone()

Returns

MarketModelPathwiseMultiProduct

A new product.

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

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, MarketModelPathwiseMultiProductCashFlow[][] 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 MarketModelPathwiseMultiProductCashFlow[][]

Each product's cash flows, written from the first; NumberOfProducts rows of at least MaxNumberOfCashFlowsPerProductPerStep, each of 1 + the number of rates amounts.

Returns

bool

Whether the path is finished for the product.

Exceptions

NanoQLException

The rebate is stepped past its payment times.

PossibleCashFlowTimes()

The times the product can pay at, which its cash flows' time indices index.

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()

Refused, as QuantLib's: a rebate suggests no numeraire.

public override ImmutableArray<int> SuggestedNumeraires()

Returns

ImmutableArray<int>

Never returns.

Exceptions

NanoQLException

Always.