QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | List of all members
MarketModelPathwiseCashRebate Class Reference

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

+ Inheritance diagram for MarketModelPathwiseCashRebate:

Public Member Functions

 MarketModelPathwiseCashRebate (const EvolutionDescription &evolution, const std::vector< Time > &paymentTimes, const Matrix &amounts, Size numberOfProducts)
 
virtual std::vector< SizesuggestedNumeraires () const
 
virtual const EvolutionDescriptionevolution () const
 
virtual std::vector< TimepossibleCashFlowTimes () 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< MarketModelPathwiseMultiProductclone () 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.