Multiple-step market-model product. More...
#include <ql/models/marketmodels/products/multiproductmultistep.hpp>
Inheritance diagram for MultiProductMultiStep:Public Member Functions | |
| MultiProductMultiStep (const std::vector< Time > &rateTimes) | |
MarketModelMultiProduct interface | |
| std::vector< Size > | suggestedNumeraires () const |
| const EvolutionDescription & | evolution () const |
Public Member Functions inherited from MarketModelMultiProduct | |
| virtual std::vector< Time > | possibleCashFlowTimes () const =0 |
| virtual Size | numberOfProducts () const =0 |
| virtual Size | maxNumberOfCashFlowsPerProductPerStep () const =0 |
| virtual void | reset ()=0 |
| during simulation put product at start of path | |
| virtual bool | nextTimeStep (const CurveState ¤tState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated)=0 |
| return value indicates whether path is finished, TRUE means done | |
| virtual std::auto_ptr< MarketModelMultiProduct > | clone () const =0 |
| returns a newly-allocated copy of itself | |
Protected Attributes | |
| std::vector< Time > | rateTimes_ |
| EvolutionDescription | evolution_ |
Multiple-step market-model product.
This is the abstract base class that encapsulates the notion of a MarketModelMultiProduct which can be evaluated in a more than one step (aka Rebonato's long jump).