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QuantLib_MarketModelPathwiseCashRebate

NAME

QuantLib::MarketModelPathwiseCashRebate -

SYNOPSIS

#include <ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.hpp>

Inherits QuantLib::MarketModelPathwiseMultiProduct.

Public Member Functions

MarketModelPathwiseCashRebate (const EvolutionDescription &evolution, const std::vector< Time > &paymentTimes, const Matrix &amounts, Size numberOfProducts)

virtual std::vector< Size > suggestedNumeraires () const

virtual const EvolutionDescription & evolution () const

virtual std::vector< Time > possibleCashFlowTimes () const

virtual Size numberOfProducts () const

virtual Size maxNumberOfCashFlowsPerProductPerStep () const

virtual void reset ()
during simulation put product at start of path
virtual bool alreadyDeflated () const

virtual bool nextTimeStep (const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< MarketModelPathwiseMultiProduct::CashFlow > > &cashFlowsGenerated)
return value indicates whether path is finished, TRUE means done
virtual std::auto_ptr< MarketModelPathwiseMultiProduct > clone () const
returns a newly-allocated copy of itself

Detailed Description

Swap for doing simple cash rebate. Fairly useless when used directly, but if we want to look a breakable swap it becomes useful.

Author

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