QuantLib_MultiStepSwaption (3) - Linux Manuals


QuantLib::MultiStepSwaption -


#include <ql/models/marketmodels/products/multistep/multistepswaption.hpp>

Inherits QuantLib::MultiProductMultiStep.

Public Member Functions

MultiStepSwaption (const std::vector< Time > &rateTimes, Size startIndex, Size endIndex, boost::shared_ptr< StrikedTypePayoff > &)

MarketModelMultiProduct interface

std::vector< Time > possibleCashFlowTimes () const

Size numberOfProducts () const

Size maxNumberOfCashFlowsPerProductPerStep () const

void reset ()
during simulation put product at start of path
bool nextTimeStep (const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated)
return value indicates whether path is finished, TRUE means done
std::auto_ptr< MarketModelMultiProduct > clone () const
returns a newly-allocated copy of itself

Detailed Description

Price a swaption associated to a contiguous subset of rates. Useful only for testing purposes. Steps through all rate times up to start of swap.


Generated automatically by Doxygen for QuantLib from the source code.