QuantLib_MultiProductMultiStep (3) - Linux Manuals

QuantLib_MultiProductMultiStep: Multiple-step market-model product.


QuantLib::MultiProductMultiStep - Multiple-step market-model product.


#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).


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