- QuantLib
- MultiProductPathwiseWrapper
#include <ql/models/marketmodels/products/multistep/multisteppathwisewrapper.hpp>
Public Member Functions | |
MultiProductPathwiseWrapper (const MarketModelPathwiseMultiProduct &innerProduct_) | |
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 | |
std::vector< Size > | suggestedNumeraires () const |
const EvolutionDescription & | evolution () const |
MultiStepPathwiseWrapper Pathwise products do everything that ordinary products do and more. This lets you treat a pathwise product as an ordinary product. So you only have to write the product once.
Tested in MarketModels::testInverseFloater()