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QuantLib_MultiProductOneStep
Langue: en
Version: 373336 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::MultiProductOneStep -Single-step market-model product.
SYNOPSIS
#include <ql/models/marketmodels/products/multiproductonestep.hpp>
Inherits QuantLib::MarketModelMultiProduct.
Inherited by OneStepCoinitialSwaps, OneStepCoterminalSwaps, OneStepForwards, and OneStepOptionlets.
Public Member Functions
MultiProductOneStep (const std::vector< Time > &rateTimes)
MarketModelMultiProduct interface
const EvolutionDescription & evolution () const
std::vector< Size > suggestedNumeraires () const
Protected Attributes
std::vector< Time > rateTimes_
EvolutionDescription evolution_
Detailed Description
Single-step market-model product.
This is the abstract base class that encapsulates the notion of a MarketModelMultiProduct which can be evaluated in one step (aka Rebonato's very long jump).
Author
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