Composition of one or more market-model products. More...
#include <ql/models/marketmodels/products/multiproductcomposite.hpp>
Inheritance diagram for MultiProductComposite:Public Member Functions | |
MarketModelMultiProduct interface | |
| Size | numberOfProducts () const |
| Size | maxNumberOfCashFlowsPerProductPerStep () const |
| bool | nextTimeStep (const CurveState ¤tState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated) |
| return value indicates whether path is finished, TRUE means done | |
| std::auto_ptr< MarketModelMultiProduct > | clone () const |
| returns a newly-allocated copy of itself | |
Public Member Functions inherited from MarketModelComposite | |
| const EvolutionDescription & | evolution () const |
| std::vector< Size > | suggestedNumeraires () const |
| std::vector< Time > | possibleCashFlowTimes () const |
| void | reset () |
| during simulation put product at start of path | |
| void | add (const Clone< MarketModelMultiProduct > &, Real multiplier=1.0) |
| void | subtract (const Clone< MarketModelMultiProduct > &, Real multiplier=1.0) |
| void | finalize () |
| Size | size () const |
| const MarketModelMultiProduct & | item (Size i) const |
| MarketModelMultiProduct & | item (Size i) |
| Real | multiplier (Size i) const |
Additional Inherited Members | |
Protected Types inherited from MarketModelComposite | |
| typedef std::vector< SubProduct >::iterator | iterator |
| typedef std::vector< SubProduct >::const_iterator | const_iterator |
Protected Attributes inherited from MarketModelComposite | |
| std::vector< SubProduct > | components_ |
| std::vector< Time > | rateTimes_ |
| std::vector< Time > | evolutionTimes_ |
| EvolutionDescription | evolution_ |
| bool | finalized_ |
| Size | currentIndex_ |
| std::vector< Time > | cashflowTimes_ |
| std::vector< std::vector< Time > > | allEvolutionTimes_ |
| std::vector< std::valarray< bool > > | isInSubset_ |
Composition of one or more market-model products.
Instances of this class build a multiple market-model product by composing two or more subproducts.