QuantLib_MarketModelComposite man page

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

Synopsis

#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.

Precondition:

All subproducts must have the same rate times.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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).

Fri Jun 2 2017 Version 1.10 QuantLib