multiproductmultistep.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 Ferdinando Ametrano
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
 
#ifndef quantlib_multiproduct_multistep_hpp
#define quantlib_multiproduct_multistep_hpp
 
#include <ql/models/marketmodels/multiproduct.hpp>
#include <ql/models/marketmodels/evolutiondescription.hpp>
 
namespace QuantLib {
 
    //! 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).
    */
    class MultiProductMultiStep : public MarketModelMultiProduct {
      public:
        explicit MultiProductMultiStep(std::vector<Time> rateTimes);
        //! \name MarketModelMultiProduct interface
        //@{
        std::vector<Size> suggestedNumeraires() const override;
        const EvolutionDescription& evolution() const override;
        //@}
      protected:
        std::vector<Time> rateTimes_;
        EvolutionDescription evolution_;
    };
 
}
 
#endif