QuantLib_MarketModelPathwiseInverseFloater man page

MarketModelPathwiseInverseFloater

Synopsis

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

Inherits MarketModelPathwiseMultiProduct.

Public Member Functions

MarketModelPathwiseInverseFloater (const std::vector< Time > &rateTimes, const std::vector< Real > &fixedAccruals, const std::vector< Real > &floatingAccruals, const std::vector< Real > &fixedStrikes, const std::vector< Real > &fixedMultipliers, const std::vector< Real > &floatingSpreads, const std::vector< Time > &paymentTimes, bool payer=true)
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

Pathwise product inverse floater for doing Greeks Tested in MarketModels::testInverseFloater()

Author

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Referenced By

The man page MarketModelPathwiseInverseFloater(3) is an alias of QuantLib_MarketModelPathwiseInverseFloater(3).

Wed Aug 2 2017 Version 1.10 QuantLib