QuantLib_MultiStepSwaption man page

MultiStepSwaption —


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

Inherits MultiProductMultiStep.

Public Member Functions

MultiStepSwaption (const std::vector< Time > &rateTimes, Size startIndex, Size endIndex, boost::shared_ptr< StrikedTypePayoff > &)

MarketModelMultiProduct interface

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

Additional Inherited Members

Detailed Description

Price a swaption associated to a contiguous subset of rates. Useful only for testing purposes. Steps through all rate times up to start of swap.


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Referenced By

MultiStepSwaption(3) is an alias of QuantLib_MultiStepSwaption(3).

QuantLib Version 1.8.1 Fri Sep 23 2016