QuantLib_MarketModelPathwiseMultiProduct man page

MarketModelPathwiseMultiProduct — market-model pathwise product

Synopsis

#include <ql/models/marketmodels/pathwisemultiproduct.hpp>

Inherited by CallSpecifiedPathwiseMultiProduct, MarketModelPathwiseCashRebate, MarketModelPathwiseCoterminalSwaptionsDeflated, MarketModelPathwiseCoterminalSwaptionsNumericalDeflated, MarketModelPathwiseInverseFloater, MarketModelPathwiseMultiCaplet, MarketModelPathwiseMultiDeflatedCap, MarketModelPathwiseMultiDeflatedCaplet, and MarketModelPathwiseSwap.

Public Member Functions

virtual std::vector< Size > suggestedNumeraires () const =0

virtual const EvolutionDescription & evolution () const =0

virtual std::vector< Time > possibleCashFlowTimes () const =0

virtual Size numberOfProducts () const =0

virtual Size maxNumberOfCashFlowsPerProductPerStep () const =0

virtual bool alreadyDeflated () const =0

virtual void reset ()=0
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)=0
return value indicates whether path is finished, TRUE means done
virtual std::auto_ptr< MarketModelPathwiseMultiProduct > clone () const =0
returns a newly-allocated copy of itself

Detailed Description

market-model pathwise product

This is the abstract base class that encapsulates the notion of a product: it contains the information that would be in the termsheet of the product.

It's useful to have it be able to do several products simultaneously. The products would have to have the same underlying rate times of course. The class is therefore really encapsulating the notion of a multi-product.

For each time evolved to, it generates the cash flows associated to that time for the state of the yield curve. If one was doing a callable product then this would encompass the product and its exercise strategy.

This class differs from market-model multi-product in that it also returns the derivative of the pay-off with respect to each forward rate

Author

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Info

Fri Sep 23 2016 Version 1.8.1 QuantLib