Rechercher une page de manuel
QuantLib_MultiStepSwaption
Langue: en
Version: 151715 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::MultiStepSwaption -SYNOPSIS
#include <ql/models/marketmodels/products/multistep/multistepswaption.hpp>
Inherits QuantLib::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 ¤tState, 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
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.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre