QuantLib_MultiProductOneStep (3) - Linux Manuals

QuantLib_MultiProductOneStep: Single-step market-model product.


QuantLib::MultiProductOneStep - Single-step market-model product.


#include <ql/models/marketmodels/products/multiproductonestep.hpp>

Inherits QuantLib::MarketModelMultiProduct.

Inherited by OneStepCoinitialSwaps, OneStepCoterminalSwaps, OneStepForwards, and OneStepOptionlets.

Public Member Functions

MultiProductOneStep (const std::vector< Time > &rateTimes)

MarketModelMultiProduct interface

const EvolutionDescription & evolution () const

std::vector< Size > suggestedNumeraires () const

Protected Attributes

std::vector< Time > rateTimes_

EvolutionDescription evolution_

Detailed Description

Single-step market-model product.

This is the abstract base class that encapsulates the notion of a MarketModelMultiProduct which can be evaluated in one step (aka Rebonato's very long jump).


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