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QuantLib_MarketModelCashRebate

NAME

QuantLib::MarketModelCashRebate -

SYNOPSIS

#include <ql/models/marketmodels/products/multistep/cashrebate.hpp>

Inherits QuantLib::MarketModelMultiProduct.

Public Member Functions

MarketModelCashRebate (const EvolutionDescription &evolution, const std::vector< Time > &paymentTimes, const Matrix &amounts, Size numberOfProducts)

MarketModelMultiProduct interface

 

std::vector< Size > suggestedNumeraires () const

const EvolutionDescription & evolution () const

std::vector< Time > possibleCashFlowTimes () const

Size numberOfProducts () const

Size maxNumberOfCashFlowsPerProductPerStep () const

void reset ()
during simulation put product at start of path
bool nextTimeStep (const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated)
return value indicates whether path is finished, TRUE means done
std::auto_ptr< MarketModelMultiProduct > clone () const
returns a newly-allocated copy of itself

Detailed Description

Class to model receipt of a fixed cash amount once. Product terminates immediately. Mainly useful as rebate received when another product is cancelled.

Author

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