MarketModelPathwiseCoterminalSwaptionsDeflated Class Reference

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

Inheritance diagram for MarketModelPathwiseCoterminalSwaptionsDeflated:

List of all members.

Public Member Functions

 MarketModelPathwiseCoterminalSwaptionsDeflated (const std::vector< Time > &rateTimes, const std::vector< Rate > &strikes)
virtual std::vector< Size > suggestedNumeraires () const
virtual const
EvolutionDescription
evolution () const
virtual std::vector< TimepossibleCashFlowTimes () const
virtual Size numberOfProducts () const
virtual Size maxNumberOfCashFlowsPerProductPerStep () const
virtual bool alreadyDeflated () const
virtual void reset ()
 during simulation put product at start of path
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
< MarketModelPathwiseMultiProduct
clone () const
 returns a newly-allocated copy of itself


Detailed Description

Main use is to test market pathwise vegas. The swaptions are payers and co-terminal. The class is tested in TestPathwiseVegas by running against the numerical version below.