MultiStepSwaption Class Reference

#include <ql/models/marketmodels/products/multistep/multistepswaption.hpp>

Inheritance diagram for MultiStepSwaption:

Public Member Functions
	MultiStepSwaption (const std::vector< Time > &rateTimes, Size startIndex, Size endIndex, ext::shared_ptr< StrikedTypePayoff > &)
Public Member Functions inherited from MultiProductMultiStep
	MultiProductMultiStep (const std::vector< Time > &rateTimes)
std::vector< Size >	suggestedNumeraires () const
const EvolutionDescription &	evolution () const

MarketModelMultiProduct interface
std::vector< Time >	possibleCashFlowTimes () const
Size	numberOfProducts () const
Size	maxNumberOfCashFlowsPerProductPerStep () const
void	reset ()
	during simulation put product at start of path
bool	nextTimeStep (const CurveState &currentState, 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

Additional Inherited Members
Protected Attributes inherited from MultiProductMultiStep
std::vector< Time >	rateTimes_
EvolutionDescription	evolution_

Detailed Description

Price a swaption associated to a contiguous subset of rates. Useful only for testing purposes. Steps through all rate times up to start of swap.