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

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

+ Inheritance diagram for MarketModelPathwiseMultiDeflatedCap:

Public Member Functions

 MarketModelPathwiseMultiDeflatedCap (const std::vector< Time > &rateTimes, const std::vector< Real > &accruals, const std::vector< Time > &paymentTimes, Rate strike, const std::vector< std::pair< Size, Size > > &startsAndEnds)
 
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

MarketModelPathwiseMultiDeflatedCap to price several caps and get their derivatives simultaneously. Mainly useful for testing pathwise market vegas code.