MultiProductComposite Class Reference

Composition of one or more market-model products. More...

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

Inheritance diagram for MultiProductComposite:

Public Member Functions
MarketModelMultiProduct interface
Size	numberOfProducts () const override
Size	maxNumberOfCashFlowsPerProductPerStep () const override
bool	nextTimeStep (const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated) override
	return value indicates whether path is finished, TRUE means done
std::unique_ptr< MarketModelMultiProduct >	clone () const override
	returns a newly-allocated copy of itself
Public Member Functions inherited from MarketModelComposite
const EvolutionDescription &	evolution () const override
std::vector< Size >	suggestedNumeraires () const override
std::vector< Time >	possibleCashFlowTimes () const override
void	reset () override
	during simulation put product at start of path
void	add (const Clone< MarketModelMultiProduct > &, Real multiplier=1.0)
void	subtract (const Clone< MarketModelMultiProduct > &, Real multiplier=1.0)
void	finalize ()
Size	size () const
const MarketModelMultiProduct &	item (Size i) const
MarketModelMultiProduct &	item (Size i)
Real	multiplier (Size i) const

Additional Inherited Members
typedef std::vector< SubProduct >::iterator	iterator
typedef std::vector< SubProduct >::const_iterator	const_iterator
std::vector< SubProduct >	components_
std::vector< Time >	rateTimes_
std::vector< Time >	evolutionTimes_
EvolutionDescription	evolution_
bool	finalized_ = false
Size	currentIndex_
std::vector< Time >	cashflowTimes_
std::vector< std::vector< Time > >	allEvolutionTimes_
std::vector< std::valarray< bool > >	isInSubset_

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.

Examples

MarketModels.cpp.

Member Function Documentation

numberOfProducts()

Size numberOfProducts ( ) const

overridevirtual

Implements MarketModelMultiProduct.

maxNumberOfCashFlowsPerProductPerStep()

Size maxNumberOfCashFlowsPerProductPerStep ( ) const

overridevirtual

Implements MarketModelMultiProduct.

nextTimeStep()

bool nextTimeStep ( const CurveState & currentState, std::vector< Size > & numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > & cashFlowsGenerated )

overridevirtual

return value indicates whether path is finished, TRUE means done

Implements MarketModelMultiProduct.

clone()

std::unique_ptr< MarketModelMultiProduct > clone ( ) const

overridevirtual

returns a newly-allocated copy of itself

Implements MarketModelMultiProduct.