21#ifndef quantlib_market_model_pathwise_swap_hpp
22#define quantlib_market_model_pathwise_swap_hpp
33 class EvolutionDescription;
46 const std::vector<Time>& rateTimes,
47 const std::vector<Time>& accruals,
48 const std::vector<Rate>& strikes,
65 void reset()
override;
69 std::vector<Size>& numberCashFlowsThisStep,
70 std::vector<std::vector<MarketModelPathwiseMultiProduct::CashFlow> >&
71 cashFlowsGenerated)
override;
74 std::unique_ptr<MarketModelPathwiseMultiProduct>
clone()
const override;
Curve state for market-model simulations
Market-model evolution description.
market-model pathwise product
std::vector< Size > suggestedNumeraires() const override
bool nextTimeStep(const CurveState ¤tState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< MarketModelPathwiseMultiProduct::CashFlow > > &cashFlowsGenerated) override
return value indicates whether path is finished, TRUE means done
std::unique_ptr< MarketModelPathwiseMultiProduct > clone() const override
returns a newly-allocated copy of itself
bool alreadyDeflated() const override
std::vector< Time > possibleCashFlowTimes() const override
const EvolutionDescription & evolution() const override
Size maxNumberOfCashFlowsPerProductPerStep() const override
EvolutionDescription evolution_
Size numberOfProducts() const override
std::vector< Rate > strikes_
std::vector< Real > rateTimes_
std::vector< Real > accruals_
void reset() override
during simulation put product at start of path
~MarketModelPathwiseSwap() override=default
std::size_t Size
size of a container