MultiProductMultiStep Class Reference
#include <ql/models/marketmodels/products/multiproductmultistep.hpp>
Inheritance diagram for MultiProductMultiStep:

Detailed Description
Multiple-step market-model product.This is the abstract base class that encapsulates the notion of a MarketModelMultiProduct which can be evaluated in a more than one step (aka Rebonato's long jump).
Public Member Functions | |
MultiProductMultiStep (const std::vector< Time > &rateTimes) | |
MarketModelMultiProduct interface | |
std::vector< Size > | suggestedNumeraires () const |
const EvolutionDescription & | evolution () const |
Protected Attributes | |
std::vector< Time > | rateTimes_ |
EvolutionDescription | evolution_ |