QuantLib_MultiProductComposite (3) Linux Manual Page

QuantLib::MultiProductComposite – Composition of one or more market-model products.

Synopsis

#include <ql/models/marketmodels/products/multiproductcomposite.hpp>

Inherits QuantLib::MarketModelComposite.

Public Member Functions

MarketModelMultiProduct interface

Size numberOfProducts () const

Size maxNumberOfCashFlowsPerProductPerStep () const

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

Composition of one or more market-model products.

Instances of this class build a multiple market-model product by composing two or more subproducts.

Precondition:

All subproducts must have the same rate times.

Author

Generated automatically by Doxygen for QuantLib from the source code.