evolution_ (3) - Linux Manuals
evolution_: Composition of two or more market-model products.
NAME
QuantLib::MarketModelComposite - Composition of two or more market-model products.
SYNOPSIS
#include <ql/models/marketmodels/products/compositeproduct.hpp>
Inherits QuantLib::MarketModelMultiProduct.
Inherited by MultiProductComposite, and SingleProductComposite.
Public Member Functions
MarketModelMultiProduct interface
const EvolutionDescription & evolution () const
std::vector< Size > suggestedNumeraires () const
std::vector< Time > possibleCashFlowTimes () const
void reset ()
during simulation put product at start of path
Composite facilities
void add (const Clone< MarketModelMultiProduct > &, Real multiplier=1.0)
void subtract (const Clone< MarketModelMultiProduct > &, Real multiplier=1.0)
void finalize ()
Size size () const
const MarketModelMultiProduct & item (Size i) const
MarketModelMultiProduct & item (Size i)
Real multiplier (Size i) const
Protected Types
typedef std::vector< SubProduct >::iterator iterator
typedef std::vector< SubProduct >::const_iterator const_iterator
Protected Attributes
std::vector< SubProduct > components_
std::vector< Time > rateTimes_
std::vector< Time > evolutionTimes_
EvolutionDescription evolution_
bool finalized_
Size currentIndex_
std::vector< Time > cashflowTimes_
std::vector< std::vector< Time > > allEvolutionTimes_
std::vector< std::vector< bool > > isInSubset_
Detailed Description
Composition of two or more market-model products.
Instances of this class build a market-model product by composing one or more subproducts.
Precondition:
- All subproducts must have the same rate times.
Author
Generated automatically by Doxygen for QuantLib from the source code.