QuantLib_MarketModelPathwiseMultiDeflatedCap man page



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

Inherits MarketModelPathwiseMultiProduct.

Public Member Functions

MarketModelPathwiseMultiDeflatedCap (const std::vector< Time > &rateTimes, const std::vector< Real > &accruals, const std::vector< Time > &paymentTimes, Rate strike, const std::vector< std::pair< Size, Size > > &startsAndEnds)
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

MarketModelPathwiseMultiDeflatedCap to price several caps and get their derivatives simultaneously. Mainly useful for testing pathwise market vegas code.


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Referenced By

The man page MarketModelPathwiseMultiDeflatedCap(3) is an alias of QuantLib_MarketModelPathwiseMultiDeflatedCap(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib