MultiProductOneStep Class Reference

#include <ql/models/marketmodels/products/multiproductonestep.hpp>

Inheritance diagram for MultiProductOneStep:

List of all members.


Detailed Description

Single-step market-model product.

This is the abstract base class that encapsulates the notion of a MarketModelMultiProduct which can be evaluated in one step (aka Rebonato's very long jump).

Public Member Functions

 MultiProductOneStep (const std::vector< Time > &rateTimes)
MarketModelMultiProduct interface
const EvolutionDescriptionevolution () const
std::vector< SizesuggestedNumeraires () const

Protected Attributes

std::vector< TimerateTimes_
EvolutionDescription evolution_