QuantLib_MultiProductOneStep man page

MultiProductOneStep — Single-step market-model product.  

Synopsis

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

Inherits MarketModelMultiProduct.

Inherited by OneStepCoinitialSwaps, OneStepCoterminalSwaps, OneStepForwards, and OneStepOptionlets.

Public Member Functions

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

MarketModelMultiProduct interface

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

Protected Attributes

std::vector< Time > rateTimes_
EvolutionDescription evolution_

Detailed Description

Single-step market-model product.

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

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page MultiProductOneStep(3) is an alias of QuantLib_MultiProductOneStep(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib