#include <ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.hpp>
Inheritance diagram for MarketModelPathwiseMultiDeflatedCap:Public Member Functions | |
| MarketModelPathwiseMultiDeflatedCap (const std::vector< Time > &rateTimes, const std::vector< Real > &accruals, const std::vector< Time > &paymentTimes, Rate strike, const std::vector< std::pair< Size, Size > > &startsAndEnds) | |
| 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 bool | alreadyDeflated () const |
| virtual void | reset () |
| during simulation put product at start of path | |
| virtual bool | nextTimeStep (const CurveState ¤tState, 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 | |
MarketModelPathwiseMultiDeflatedCap to price several caps and get their derivatives simultaneously. Mainly useful for testing pathwise market vegas code.