MarketModelPathwiseInverseFloater Class Reference

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

Inheritance diagram for MarketModelPathwiseInverseFloater:

List of all members.

Public Member Functions

 MarketModelPathwiseInverseFloater (const std::vector< Time > &rateTimes, const std::vector< Real > &fixedAccruals, const std::vector< Real > &floatingAccruals, const std::vector< Real > &fixedStrikes, const std::vector< Real > &fixedMultipliers, const std::vector< Real > &floatingSpreads, const std::vector< Time > &paymentTimes, bool payer=true)
virtual std::vector< Size > suggestedNumeraires () const
virtual const
EvolutionDescription
evolution () const
virtual std::vector< Time > possibleCashFlowTimes () 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

Pathwise product inverse floater for doing Greeks Tested in MarketModels::testInverseFloater()