QuantLib_MultiProductMultiStep

Langue: en

Autres versions - même langue

Version: 377029 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::MultiProductMultiStep -

Multiple-step market-model product.

SYNOPSIS


#include <ql/models/marketmodels/products/multiproductmultistep.hpp>

Inherits QuantLib::MarketModelMultiProduct.

Inherited by ExerciseAdapter, MultiStepCoinitialSwaps, MultiStepCoterminalSwaps, MultiStepCoterminalSwaptions, MultiStepForwards, MultiStepInverseFloater, MultiStepNothing, MultiStepOptionlets, MultiStepPeriodCapletSwaptions, MultiStepRatchet, MultiStepSwap, and MultiStepSwaption.

Public Member Functions


MultiProductMultiStep (const std::vector< Time > &rateTimes)

MarketModelMultiProduct interface

 


std::vector< Size > suggestedNumeraires () const

const EvolutionDescription & evolution () const

Protected Attributes


std::vector< Time > rateTimes_

EvolutionDescription evolution_

Detailed Description

Multiple-step market-model product.

This is the abstract base class that encapsulates the notion of a MarketModelMultiProduct which can be evaluated in a more than one step (aka Rebonato's long jump).

Author

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