QuantLib_MarketModelPathwiseInverseFloater man page

MarketModelPathwiseInverseFloater —


#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()


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Referenced By

MarketModelPathwiseInverseFloater(3) is an alias of QuantLib_MarketModelPathwiseInverseFloater(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib