#include <ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.hpp>
Public Member Functions | |
MarketModelPathwiseCashRebate (const EvolutionDescription &evolution, const std::vector< Time > &paymentTimes, const Matrix &amounts, Size numberOfProducts) | |
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 void | reset () |
during simulation put product at start of path | |
virtual bool | alreadyDeflated () const |
virtual bool | nextTimeStep (const CurveState ¤tState, 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 | |
Swap for doing simple cash rebate. Fairly useless when used directly, but if we want to look a breakable swap it becomes useful.