MultiProductMultiStep Class Reference

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

Inheritance diagram for MultiProductMultiStep:

List of all members.


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< SizesuggestedNumeraires () const
const EvolutionDescriptionevolution () const

Protected Attributes

std::vector< TimerateTimes_
EvolutionDescription evolution_