QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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ql
models
marketmodels
products
multiproductonestep.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2006 Ferdinando Ametrano
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_multiproduct_onestep_hpp
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#define quantlib_multiproduct_onestep_hpp
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#include <ql/models/marketmodels/multiproduct.hpp>
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#include <ql/models/marketmodels/evolutiondescription.hpp>
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namespace
QuantLib
{
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class
MultiProductOneStep
:
public
MarketModelMultiProduct
{
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public
:
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explicit
MultiProductOneStep
(std::vector<Time> rateTimes);
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const
EvolutionDescription
&
evolution
()
const override
;
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std::vector<Size>
suggestedNumeraires
()
const override
;
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protected
:
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std::vector<Time>
rateTimes_
;
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EvolutionDescription
evolution_
;
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};
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}
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#endif
QuantLib::EvolutionDescription
Market-model evolution description.
Definition:
evolutiondescription.hpp:54
QuantLib::MarketModelMultiProduct
market-model product
Definition:
multiproduct.hpp:50
QuantLib::MultiProductOneStep
Single-step market-model product.
Definition:
multiproductonestep.hpp:34
QuantLib::MultiProductOneStep::suggestedNumeraires
std::vector< Size > suggestedNumeraires() const override
Definition:
multiproductonestep.cpp:44
QuantLib::MultiProductOneStep::rateTimes_
std::vector< Time > rateTimes_
Definition:
multiproductonestep.hpp:43
QuantLib::MultiProductOneStep::evolution
const EvolutionDescription & evolution() const override
Definition:
multiproductonestep.cpp:40
QuantLib::MultiProductOneStep::evolution_
EvolutionDescription evolution_
Definition:
multiproductonestep.hpp:44
QuantLib
Definition:
any.hpp:35
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