QuantLib_MarketModelComposite man page

MarketModelComposite — Composition of two or more market-model products.  


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

Inherits MarketModelMultiProduct.

Inherited by MultiProductComposite, and SingleProductComposite.

Public Member Functions

MarketModelMultiProduct interface

const EvolutionDescription & evolution () const
std::vector< Size > suggestedNumeraires () const
std::vector< Time > possibleCashFlowTimes () const
void reset ()
during simulation put product at start of path

Composite facilities

void add (const Clone< MarketModelMultiProduct > &, Real multiplier=1.0)
void subtract (const Clone< MarketModelMultiProduct > &, Real multiplier=1.0)
void finalize ()
Size size () const
const MarketModelMultiProduct & item (Size i) const
MarketModelMultiProduct & item (Size i)
Real multiplier (Size i) const

Protected Types

typedef std::vector< SubProduct >::iterator iterator
typedef std::vector< SubProduct >::const_iterator const_iterator

Protected Attributes

std::vector< SubProduct > components_
std::vector< Time > rateTimes_
std::vector< Time > evolutionTimes_
EvolutionDescription evolution_
bool finalized_
Size currentIndex_
std::vector< Time > cashflowTimes_
std::vector< std::vector< Time > > allEvolutionTimes_
std::vector< std::valarray< bool > > isInSubset_

Detailed Description

Composition of two or more market-model products.

Instances of this class build a market-model product by composing one or more subproducts.


All subproducts must have the same rate times.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages allEvolutionTimes_(3), cashflowTimes_(3), currentIndex_(3), evolution_(3), evolutionTimes_(3), finalize(3), finalized_(3), isInSubset_(3), item(3) and multiplier(3) are aliases of QuantLib_MarketModelComposite(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib