QuantLib: MarketModelPathwiseCashRebate Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

- Main Page
- Related Pages
- Modules
- Classes
- Examples

- Class List
- Class Index
- Class Hierarchy
- Class Members

Public Member Functions | List of all members
MarketModelPathwiseCashRebate Class Reference

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

Inheritance diagram for MarketModelPathwiseCashRebate:
[legend]

## 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.