Rechercher une page de manuel
QuantLib_MarketModelPathwiseSwap
Langue: en
Version: 377167 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::MarketModelPathwiseSwap -SYNOPSIS
#include <ql/models/marketmodels/products/pathwise/pathwiseproductswap.hpp>
Inherits QuantLib::MarketModelPathwiseMultiProduct.
Public Member Functions
MarketModelPathwiseSwap (const std::vector< Time > &rateTimes, const std::vector< Time > &accruals, const std::vector< Rate > &strikes, Real multiplier=1.0)
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 bool alreadyDeflated () const
virtual void reset ()
during simulation put product at start of path
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
Detailed Description
Swap for doing Greeks. Fairly useless when used directly, but if we want to look a breakable swap it becomes useful.
Author
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre