QuantLib: MultiProductOneStep Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

Public Member Functions | Protected Attributes | List of all members
MultiProductOneStep Class Reference

Single-step market-model product. More...

`#include <ql/models/marketmodels/products/multiproductonestep.hpp>`

Inheritance diagram for MultiProductOneStep:
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## Public Member Functions
| MultiProductOneStep (const std::vector< Time > &rateTimes)
MarketModelMultiProduct interface
const EvolutionDescription & | evolution () const
std::vector< Size > | suggestedNumeraires () const
Public Member Functions inherited from MarketModelMultiProduct
virtual std::vector< Time > | possibleCashFlowTimes () const =0
virtual Size | numberOfProducts () const =0
virtual Size | maxNumberOfCashFlowsPerProductPerStep () const =0
virtual void | reset ()=0
| during simulation put product at start of path
virtual bool | nextTimeStep (const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated)=0
| return value indicates whether path is finished, TRUE means done
virtual std::auto_ptr< MarketModelMultiProduct > | clone () const =0
| returns a newly-allocated copy of itself

## Protected Attributes
std::vector< Time > | rateTimes_
EvolutionDescription | evolution_

## Detailed Description

Single-step market-model product.

This is the abstract base class that encapsulates the notion of a MarketModelMultiProduct which can be evaluated in one step (aka Rebonato's very long jump).