QuantLib_MultiProductMultiStep man page

MultiProductMultiStep — Multiple-step market-model product.  

Synopsis

#include <ql/models/marketmodels/products/multiproductmultistep.hpp>

Inherits MarketModelMultiProduct.

Inherited by ExerciseAdapter, MultiStepCoinitialSwaps, MultiStepCoterminalSwaps, MultiStepCoterminalSwaptions, MultiStepForwards, MultiStepInverseFloater, MultiStepNothing, MultiStepOptionlets, MultiStepPeriodCapletSwaptions, MultiStepRatchet, MultiStepSwap, MultiStepSwaption, and MultiStepTarn.

Public Member Functions

MultiProductMultiStep (const std::vector< Time > &rateTimes)

MarketModelMultiProduct interface

std::vector< Size > suggestedNumeraires () const
const EvolutionDescription & evolution () const

Protected Attributes

std::vector< Time > rateTimes_
EvolutionDescription evolution_

Detailed Description

Multiple-step market-model product.

This is the abstract base class that encapsulates the notion of a MarketModelMultiProduct which can be evaluated in a more than one step (aka Rebonato's long jump).

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page MultiProductMultiStep(3) is an alias of QuantLib_MultiProductMultiStep(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib