22#ifndef quantlib_multistep_optionlets_hpp
23#define quantlib_multistep_optionlets_hpp
35 std::vector<Real> accruals,
36 const std::vector<Time>& paymentTimes,
37 std::vector<ext::shared_ptr<Payoff> >);
43 void reset()
override;
45 std::vector<Size>& numberCashFlowsThisStep,
46 std::vector<std::vector<CashFlow> >& cashFlowsGenerated)
override;
47 std::unique_ptr<MarketModelMultiProduct>
clone()
const override;
52 std::vector<ext::shared_ptr<Payoff> >
payoffs_;
59 inline std::vector<Time>
Curve state for market-model simulations
Multiple-step market-model product.
std::vector< Time > paymentTimes_
std::unique_ptr< MarketModelMultiProduct > clone() const override
returns a newly-allocated copy of itself
bool nextTimeStep(const CurveState ¤tState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated) override
return value indicates whether path is finished, TRUE means done
std::vector< ext::shared_ptr< Payoff > > payoffs_
std::vector< Time > possibleCashFlowTimes() const override
Size maxNumberOfCashFlowsPerProductPerStep() const override
Size numberOfProducts() const override
std::vector< Real > accruals_
void reset() override
during simulation put product at start of path
std::size_t Size
size of a container
Maps shared_ptr to either the boost or std implementation.