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

Inherits MarketModelPathwiseMultiProduct.

Public Member Functions

MarketModelPathwiseCoterminalSwaptionsDeflated (const std::vector< Time > &rateTimes, const std::vector< Rate > &strikes)
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 bool alreadyDeflated () const
virtual void reset ()
during simulation put product at start of path
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

Main use is to test market pathwise vegas. The swaptions are payers and co-terminal. The class is tested in TestPathwiseVegas by running against the numerical version below.


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Referenced By

The man page MarketModelPathwiseCoterminalSwaptionsDeflated(3) is an alias of QuantLib_MarketModelPathwiseCoterminalSwaptionsDeflated(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib