QuantLib_MarketModelCashRebate man page

MarketModelCashRebate

Synopsis

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

Inherits 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

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

MarketModelCashRebate(3), maxNumberOfCashFlowsPerProductPerStep(3), nextTimeStep(3), numberOfProducts(3), possibleCashFlowTimes(3) and suggestedNumeraires(3) are aliases of QuantLib_MarketModelCashRebate(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib