QuantLib_MarketModelPathwiseMultiCaplet (3) Linux Manual Page

QuantLib::MarketModelPathwiseMultiCaplet – market-model pathwise caplet

Synopsis

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

Inherits QuantLib::MarketModelPathwiseMultiProduct.

Public Member Functions

MarketModelPathwiseMultiCaplet (const std::vector< Time > &rateTimes, const std::vector< Real > &accruals, const std::vector< Time > &paymentTimes, const std::vector< Rate > &strikes)

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

market-model pathwise caplet

implementation of path wise methodology for caplets, essentially a test class since we have better ways of computing Greeks of caplets

used in MarketModelTest::testPathwiseVegas and MarketModelTest::testPathwiseGreeks

Author

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