multiproductcomposite.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 StatPro Italia srl
 
 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_multi_product_composite_hpp
#define quantlib_multi_product_composite_hpp
 
#include <ql/models/marketmodels/products/compositeproduct.hpp>
 
namespace QuantLib {
 
    //! Composition of one or more market-model products
    /*! Instances of this class build a multiple market-model product by
        composing two or more subproducts.
 
        \pre All subproducts must have the same rate times.
    */
    class MultiProductComposite : public MarketModelComposite {
      public:
        //! \name MarketModelMultiProduct interface
        //@{
        Size numberOfProducts() const override;
        Size maxNumberOfCashFlowsPerProductPerStep() const override;
        bool nextTimeStep(const CurveState& currentState,
                          std::vector<Size>& numberCashFlowsThisStep,
                          std::vector<std::vector<CashFlow> >& cashFlowsGenerated) override;
        std::unique_ptr<MarketModelMultiProduct> clone() const override;
        //@}
    };
 
}
 
 
#endif