MultiProductOneStep (3) Linux Manual Page
QuantLib::MultiProductOneStep – Single-step market-model product.
Synopsis
#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).