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QuantLib_MultiProductPathwiseWrapper

NAME

QuantLib::MultiProductPathwiseWrapper -

SYNOPSIS

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

Inherits QuantLib::MarketModelMultiProduct.

Public Member Functions

MultiProductPathwiseWrapper (const MarketModelPathwiseMultiProduct &innerProduct_)

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
std::vector< Size > suggestedNumeraires () const

const EvolutionDescription & evolution () const

Detailed Description

MultiStepPathwiseWrapper Pathwise products do everything that ordinary products do and more. This lets you treat a pathwise product as an ordinary product. So you only have to write the product once.

Tested in MarketModels::testInverseFloater()

Author

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