QuantLib_MultiProductPathwiseWrapper man page

MultiProductPathwiseWrapper —


#include <ql/models/marketmodels/products/multistep/multisteppathwisewrapper.hpp>

Inherits MarketModelMultiProduct.

Public Member Functions

MultiProductPathwiseWrapper (const MarketModelPathwiseMultiProduct &innerProduct_)

std::vector< Time > possibleCashFlowTimes () const

Size numberOfProducts () const

Size maxNumberOfCashFlowsPerProductPerStep () const

void reset ()
during simulation put product at start of path
bool nextTimeStep (const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated)
return value indicates whether path is finished, TRUE means done
std::auto_ptr< MarketModelMultiProduct > clone () const
returns a newly-allocated copy of itself
std::vector< Size > suggestedNumeraires () const

const EvolutionDescription & evolution () const

Detailed Description

MultiStepPathwiseWrapper Pathwise products do everything that ordinary products do and more. This lets you treat a pathwise product as an ordinary product. So you only have to write the product once.

Tested in MarketModels::testInverseFloater()


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

MultiProductPathwiseWrapper(3) is an alias of QuantLib_MultiProductPathwiseWrapper(3).

QuantLib Version 1.8.1 Fri Sep 23 2016