MultiProductComposite Class Reference

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

Inheritance diagram for MultiProductComposite:

List of all members.


Detailed Description

Composition of one or more market-model products.

Instances of this class build a multiple market-model product by composing two or more subproducts.

Precondition:
All subproducts must have the same rate times.

Public Member Functions

MarketModelMultiProduct interface
Size numberOfProducts () const
Size maxNumberOfCashFlowsPerProductPerStep () const
bool nextTimeStep (const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated)
 return value indicates whether path is finished, TRUE means done
std::auto_ptr
< MarketModelMultiProduct
clone () const
 returns a newly-allocated copy of itself