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

Inherits MarketModelPathwiseMultiProduct.

Public Member Functions

MarketModelPathwiseCoterminalSwaptionsNumericalDeflated (const std::vector< Time > &rateTimes, const std::vector< Rate > &strikes, Real bumpSize_)
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

Easiest way to test MarketModelPathwiseCoterminalSwaptionsDeflated is by doing a numerical differentiation version.


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Referenced By

The man page MarketModelPathwiseCoterminalSwaptionsNumericalDeflated(3) is an alias of QuantLib_MarketModelPathwiseCoterminalSwaptionsNumericalDeflated(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib