QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | List of all members
MarketModelPathwiseCoterminalSwaptionsDeflated Class Reference

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

+ Inheritance diagram for MarketModelPathwiseCoterminalSwaptionsDeflated:

Public Member Functions

 MarketModelPathwiseCoterminalSwaptionsDeflated (const std::vector< Time > &rateTimes, 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

Main use is to test market pathwise vegas. The swaptions are payers and co-terminal. The class is tested in TestPathwiseVegas by running against the numerical version below.