QuantLib_MultiStepSwaption man page

MultiStepSwaption

Synopsis

#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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page MultiStepSwaption(3) is an alias of QuantLib_MultiStepSwaption(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib