QuantLib_MarketModelPathwiseCoterminalSwaptionsNumericalDeflated (3) - Linux Manuals


QuantLib::MarketModelPathwiseCoterminalSwaptionsNumericalDeflated -


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

Inherits QuantLib::MarketModelPathwiseMultiProduct.

Public Member Functions

MarketModelPathwiseCoterminalSwaptionsNumericalDeflated (const std::vector< Time > &rateTimes, const std::vector< Rate > &strikes, Real bumpSize_)

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

Easiest way to test MarketModelPathwiseCoterminalSwaptionsDeflated is by doing a numerical differentiation version.


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