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LiborArray2D< S > Class Template Reference
#include <Array.h>
List of all members.
Detailed Description
template<typename S>
class LiborArray2D< S >
Array in dimension 2 to contain Libors under the assumption that nSteps time steps are taken in each accrual interval. For each accrual interval 
the array has block of nSteps rows of length n-t-1 (the number of Libors still alive in this time interval), one row for each time step. Each such row has column index base t+1.
In other words: during time step s we are in row r[s][] with t=s/nStep and elements in this row are subscripted as r(s,j), j=t+1,...,n-1 corresponding to the indices of the surviving Libors.
- Parameters:
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| S | type of array elements. |
Definition at line 571 of file Array.h.
Constructor & Destructor Documentation
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template<typename S> |
| LiborArray2D< S >::LiborArray2D |
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int |
dim, |
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int |
steps |
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[inline] |
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- Parameters:
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| dim | dimension of underlying Libor process (number n of accrual intervals). |
| steps | number of time step in each accrual interval. |
Definition at line 596 of file Array.h. |
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template<typename S> |
| LiborArray2D< S >::~LiborArray2D |
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[inline] |
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Member Function Documentation
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template<typename S> |
| const S& LiborArray2D< S >::operator() |
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int |
s, |
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int |
j |
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) |
const [inline] |
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Subscripting.
Definition at line 619 of file Array.h. |
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template<typename S> |
| S& LiborArray2D< S >::operator() |
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int |
s, |
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int |
j |
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) |
[inline] |
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Subscripting.
Definition at line 629 of file Array.h. |
Member Data Documentation
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template<typename S> |
int LiborArray2D< S >::n [protected]
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Dimension of the Libor process.
Definition at line 576 of file Array.h. |
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template<typename S> |
int LiborArray2D< S >::nSteps [protected]
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Number of time steps of the underlying Libor process in each Libor accrual interval.
Definition at line 581 of file Array.h. |
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template<typename S> |
S** LiborArray2D< S >::dptr [protected]
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Data array.
Definition at line 584 of file Array.h. |
The documentation for this class was generated from the following file:
Generated on Mon Sep 22 02:16:33 2003 for Libor-Library by
1.3-rc3