MultiStepSwaption Class Reference

#include <ql/models/marketmodels/products/multistep/multistepswaption.hpp>

Inheritance diagram for MultiStepSwaption:

List of all members.

Public Member Functions

 MultiStepSwaption (const std::vector< Time > &rateTimes, Size startIndex, Size endIndex, boost::shared_ptr< StrikedTypePayoff > &)
MarketModelMultiProduct interface
std::vector< TimepossibleCashFlowTimes () 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

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.