QuantLib_MarketModelPathwiseCoterminalSwaptionsDeflated (3) - Linux Man Pages

NAME

QuantLib::MarketModelPathwiseCoterminalSwaptionsDeflated -

SYNOPSIS


#include <ql/models/marketmodels/products/pathwise/pathwiseproductswaption.hpp>

Inherits QuantLib::MarketModelPathwiseMultiProduct.

Public Member Functions


MarketModelPathwiseCoterminalSwaptionsDeflated (const std::vector< Time > &rateTimes, const std::vector< Rate > &strikes)

virtual std::vector< Size > suggestedNumeraires () const

virtual const EvolutionDescription & evolution () const

virtual std::vector< Time > possibleCashFlowTimes () const

virtual Size numberOfProducts () const

virtual Size maxNumberOfCashFlowsPerProductPerStep () const

virtual bool alreadyDeflated () const

virtual void reset ()
during simulation put product at start of path
virtual bool nextTimeStep (const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< MarketModelPathwiseMultiProduct::CashFlow > > &cashFlowsGenerated)
return value indicates whether path is finished, TRUE means done
virtual std::auto_ptr< MarketModelPathwiseMultiProduct > clone () const
returns a newly-allocated copy of itself

Detailed Description

Main use is to test market pathwise vegas. The swaptions are payers and co-terminal. The class is tested in TestPathwiseVegas by running against the numerical version below.

Author

Generated automatically by Doxygen for QuantLib from the source code.