MarketModelPathwiseMultiCaplet Class Reference

market-model pathwise caplet More...

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

Inheritance diagram for MarketModelPathwiseMultiCaplet:

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< SizesuggestedNumeraires () const
 
virtual const
EvolutionDescription
evolution () const
 
virtual std::vector< TimepossibleCashFlowTimes () 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