20#ifndef quantlib_multistep_swap_hpp
21#define quantlib_multistep_swap_hpp
32 std::vector<Real> fixedAccruals,
33 std::vector<Real> floatingAccruals,
34 const std::vector<Time>& paymentTimes,
42 void reset()
override;
44 std::vector<Size>& numberCashFlowsThisStep,
45 std::vector<std::vector<CashFlow> >& cashFlowsGenerated)
override;
46 std::unique_ptr<MarketModelMultiProduct>
clone()
const override;
61 inline std::vector<Time>
Curve state for market-model simulations
Multiple-step market-model product.
std::vector< Time > paymentTimes_
std::vector< Real > floatingAccruals_
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< Time > possibleCashFlowTimes() const override
Size maxNumberOfCashFlowsPerProductPerStep() const override
Size numberOfProducts() const override
std::vector< Real > fixedAccruals_
void reset() override
during simulation put product at start of path
std::size_t Size
size of a container