QuantLib_MarketModelPathwiseSwap man page

MarketModelPathwiseSwap

Synopsis

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

Inherits MarketModelPathwiseMultiProduct.

Public Member Functions

MarketModelPathwiseSwap (const std::vector< Time > &rateTimes, const std::vector< Time > &accruals, const std::vector< Rate > &strikes, Real multiplier=1.0)
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

Swap for doing Greeks. Fairly useless when used directly, but if we want to look a breakable swap it becomes useful.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page MarketModelPathwiseSwap(3) is an alias of QuantLib_MarketModelPathwiseSwap(3).

Wed Aug 2 2017 Version 1.10 QuantLib