30 std::vector<Real> accruals,
31 const std::vector<Time>& paymentTimes,
32 std::vector<ext::shared_ptr<Payoff> > payoffs)
34 payoffs_(
std::move(payoffs)) {
40 std::vector<Size>& numberCashFlowsThisStep,
41 std::vector<std::vector<MarketModelMultiProduct::CashFlow> >&
48 std::fill(numberCashFlowsThisStep.begin(),
49 numberCashFlowsThisStep.end(), 0);
55 std::unique_ptr<MarketModelMultiProduct>
Curve state for market-model simulations
virtual Rate forwardRate(Size i) const =0
Multiple-step market-model product.
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
MultiStepOptionlets(const std::vector< Time > &rateTimes, std::vector< Real > accruals, const std::vector< Time > &paymentTimes, std::vector< ext::shared_ptr< Payoff > >)
std::vector< ext::shared_ptr< Payoff > > payoffs_
std::vector< Real > accruals_
void checkIncreasingTimes(const std::vector< Time > ×)
check for strictly increasing times, first time greater than zero