CFL
Public Member Functions | List of all members

Interface class for financial models. More...

#include <cfl/Model.hpp>

Inheritance diagram for cfl::IModel:
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Public Member Functions

virtual ~IModel ()
 
virtual void addDependence (Slice &rSlice, const std::vector< unsigned > &rStates) const =0
 
virtual const std::vector< double > & eventTimes () const =0
 
virtual void indicator (Slice &rSlice, double dBarrier) const =0
 
virtual MultiFunction interpolate (const Slice &rSlice) const =0
 
virtual unsigned numberOfNodes (unsigned iEventTime, const std::vector< unsigned > &rStates) const =0
 
virtual unsigned numberOfStates () const =0
 
virtual std::valarray< double > origin () const =0
 
virtual void rollback (Slice &rSlice, unsigned iEventTime) const =0
 
virtual Slice state (unsigned iEventTime, unsigned iState) const =0
 

Detailed Description

Interface class for financial models in the library. Its main role is to define the model-specific behavior of the class Slice.

See also
Slice

Constructor & Destructor Documentation

virtual cfl::IModel::~IModel ( )
inlinevirtual

Virtual destructor.

Member Function Documentation

virtual void cfl::IModel::addDependence ( Slice rSlice,
const std::vector< unsigned > &  rStates 
) const
pure virtual

Transforms rSlice into the equivalent Slice object which, in addition, depends on the state processes with indexes rStates. This function is used to define arithmetic operations between objects of type Slice relying on different state processes.

Parameters
rSliceThe representation of some random variable in the model. After this operation this random variable will also be dependent on the state processes with indexes rStates.
rStatesAdditional indexes of state processes on which rSlice will be dependent after this operation.

Implemented in cfl::Brownian, and cfl::Extended.

virtual const std::vector<double>& cfl::IModel::eventTimes ( ) const
pure virtual

Accessor function to the vector of event times in the model. Event times are sorted in increasing order and are given as year fractions. The front event time equals the initial time.

Returns
Vector of event times in the model.

Implemented in cfl::Brownian, and cfl::Extended.

virtual void cfl::IModel::indicator ( Slice rSlice,
double  dBarrier 
) const
pure virtual

Transforms rSlice into the indicator function of the event that the random variable represented by rSlice is greater than the barrier dBarrier.

Parameters
rSliceBefore the operation rSlice represents some random variable. After the operation rSlice becomes equal the indicator of the event that this random variable is greater than dBarrier.
dBarrierThe value of the barrier.

Implemented in cfl::Brownian, and cfl::Extended.

virtual MultiFunction cfl::IModel::interpolate ( const Slice rSlice) const
pure virtual

This function explicitly defines the dependence of the given Slice object on the state processes. The dimension of the returned MultiFunction object coincides with the number of state processes on which rSlice is dependent.

Parameters
rSliceA random variable in the model.
Returns
Multi-dimensional function object that shows the dependence of rSlice on state processes.

Implemented in cfl::Brownian, and cfl::Extended.

virtual unsigned cfl::IModel::numberOfNodes ( unsigned  iEventTime,
const std::vector< unsigned > &  rStates 
) const
pure virtual

Returns the size of array used in the representation of random variables (objects of the type Slice) defined at a given event time and dependent on a given state processes.

Parameters
iEventTimeThe index of event time.
rStatesThe indexes of state processes.
Returns
The size of array needed to construct Slice object at event time iEventTime that depends on the state processes with indexes rStates.

Implemented in cfl::Brownian, and cfl::Extended.

virtual unsigned cfl::IModel::numberOfStates ( ) const
pure virtual

Returns the dimension of the model, that is, the number of state processes.

Returns
The number of state processes in the model.

Implemented in cfl::Brownian, and cfl::Extended.

virtual std::valarray<double> cfl::IModel::origin ( ) const
pure virtual

Returns the initial values of all state processes, that is, those values that correspond to the initial data structure of the model.

Returns
The initial values of the state processes.

Implemented in cfl::Brownian, and cfl::Extended.

virtual void cfl::IModel::rollback ( Slice rSlice,
unsigned  iEventTime 
) const
pure virtual

"Rolls back" rSlice to the event time with index iEventTime.

Parameters
rSliceBefore the rollback operator this object represents the payoff of a financial security at an event time which index is larger than iEventTime. After the rollback operator it defines the equivalent value of this payoff at the event time with index iEventTime.
iEventTimeThe index of the "target" event time for rSlice.

Implemented in cfl::Brownian, and cfl::Extended.

virtual Slice cfl::IModel::state ( unsigned  iEventTime,
unsigned  iState 
) const
pure virtual

Returns the representation of the state process with index iState at the event time with index iEventTime.

Parameters
iEventTimeThe index of the event time.
iStateThe index of the state process.
Returns
State process with index iState at event time with index iEventTime.

Implemented in cfl::Brownian, and cfl::Extended.


The documentation for this class was generated from the following file: