QuantLib_MarketModelPathwiseCashRebate man page



#include <ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.hpp>

Inherits MarketModelPathwiseMultiProduct.

Public Member Functions

MarketModelPathwiseCashRebate (const EvolutionDescription &evolution, const std::vector< Time > &paymentTimes, const Matrix &amounts, Size numberOfProducts)
virtual std::vector< Size > suggestedNumeraires () const
virtual const EvolutionDescription & evolution () const
virtual std::vector< Time > possibleCashFlowTimes () const
virtual Size numberOfProducts () const
virtual Size maxNumberOfCashFlowsPerProductPerStep () const
virtual void reset ()
during simulation put product at start of path
virtual bool alreadyDeflated () const
virtual bool nextTimeStep (const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< MarketModelPathwiseMultiProduct::CashFlow > > &cashFlowsGenerated)
return value indicates whether path is finished, TRUE means done
virtual std::auto_ptr< MarketModelPathwiseMultiProduct > clone () const
returns a newly-allocated copy of itself

Detailed Description

Swap for doing simple cash rebate. Fairly useless when used directly, but if we want to look a breakable swap it becomes useful.


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Referenced By

The man pages alreadyDeflated(3) and MarketModelPathwiseCashRebate(3) are aliases of QuantLib_MarketModelPathwiseCashRebate(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib