QuantLib_MarketModelPathwiseMultiDeflatedCap (3) - Linux Manuals


QuantLib::MarketModelPathwiseMultiDeflatedCap -


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

Inherits QuantLib::MarketModelPathwiseMultiProduct.

Public Member Functions

MarketModelPathwiseMultiDeflatedCap (const std::vector< Time > &rateTimes, const std::vector< Real > &accruals, const std::vector< Time > &paymentTimes, Rate strike, const std::vector< std::pair< Size, Size > > &startsAndEnds)

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

MarketModelPathwiseMultiDeflatedCap to price several caps and get their derivatives simultaneously. Mainly useful for testing pathwise market vegas code.


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