MultiProductMultiStep (3) Linux Manual Page
QuantLib::MultiProductMultiStep – Multiple-step market-model product.
Synopsis
#include <ql/models/marketmodels/products/multiproductmultistep.hpp>Inherits QuantLib::MarketModelMultiProduct.
Inherited by ExerciseAdapter, MultiStepCoinitialSwaps, MultiStepCoterminalSwaps, MultiStepCoterminalSwaptions, MultiStepForwards, MultiStepNothing, MultiStepOptionlets, MultiStepPeriodCapletSwaptions, MultiStepRatchet, MultiStepSwap, and MultiStepSwaption.
Public Member Functions
MultiProductMultiStep (const std::vector< Time > &rateTimes)MarketModelMultiProduct interface
std::vector< Size > suggestedNumeraires () const
const EvolutionDescription & evolution () const
Protected Attributes
std::vector< Time > rateTimes_EvolutionDescription evolution_
Detailed Description
Multiple-step market-model product.This is the abstract base class that encapsulates the notion of a MarketModelMultiProduct which can be evaluated in a more than one step (aka Rebonato’s long jump).