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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<div class="title">MultiStepSwaption Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::MultiStepSwaption" --><!-- doxytag: inherits="QuantLib::MultiProductMultiStep" -->
<p><code>#include <ql/models/marketmodels/products/multistep/multistepswaption.hpp></code></p>
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Inheritance diagram for MultiStepSwaption:</div>
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<p><a href="class_quant_lib_1_1_multi_step_swaption-members.html">List of all members.</a></p>
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Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a131b04bc6bbccff6b87398c22c9c5ef6"></a><!-- doxytag: member="QuantLib::MultiStepSwaption::MultiStepSwaption" ref="a131b04bc6bbccff6b87398c22c9c5ef6" args="(const std::vector< Time > &rateTimes, Size startIndex, Size endIndex, boost::shared_ptr< StrikedTypePayoff > &)" -->
 </td><td class="memItemRight" valign="bottom"><b>MultiStepSwaption</b> (const std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > &rateTimes, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> startIndex, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> endIndex, boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_striked_type_payoff.html">StrikedTypePayoff</a> > &)</td></tr>
<tr><td colspan="2"><div class="groupHeader">MarketModelMultiProduct interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6f8b552187132cf1314374dbdd1d8515"></a><!-- doxytag: member="QuantLib::MultiStepSwaption::possibleCashFlowTimes" ref="a6f8b552187132cf1314374dbdd1d8515" args="() const " -->
std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > </td><td class="memItemRight" valign="bottom"><b>possibleCashFlowTimes</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3953c271f6d26d5bb53f98ffa417c3af"></a><!-- doxytag: member="QuantLib::MultiStepSwaption::numberOfProducts" ref="a3953c271f6d26d5bb53f98ffa417c3af" args="() const " -->
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>numberOfProducts</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4a4d8a31726a6fa648a7d3b2cf282eaa"></a><!-- doxytag: member="QuantLib::MultiStepSwaption::maxNumberOfCashFlowsPerProductPerStep" ref="a4a4d8a31726a6fa648a7d3b2cf282eaa" args="() const " -->
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>maxNumberOfCashFlowsPerProductPerStep</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad20897c5c8bd47f5d4005989bead0e55"></a><!-- doxytag: member="QuantLib::MultiStepSwaption::reset" ref="ad20897c5c8bd47f5d4005989bead0e55" args="()" -->
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_multi_step_swaption.html#ad20897c5c8bd47f5d4005989bead0e55">reset</a> ()</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">during simulation put product at start of path <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5ba8c0749807b349f90cbc0465907c3a"></a><!-- doxytag: member="QuantLib::MultiStepSwaption::nextTimeStep" ref="a5ba8c0749807b349f90cbc0465907c3a" args="(const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated)" -->
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_multi_step_swaption.html#a5ba8c0749807b349f90cbc0465907c3a">nextTimeStep</a> (const <a class="el" href="class_quant_lib_1_1_curve_state.html">CurveState</a> &currentState, std::vector< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">return value indicates whether path is finished, TRUE means done <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a09a087fe4917a8a9d1e6233c6ccd48fc"></a><!-- doxytag: member="QuantLib::MultiStepSwaption::clone" ref="a09a087fe4917a8a9d1e6233c6ccd48fc" args="() const " -->
std::auto_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_market_model_multi_product.html">MarketModelMultiProduct</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_multi_step_swaption.html#a09a087fe4917a8a9d1e6233c6ccd48fc">clone</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns a newly-allocated copy of itself <br/></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>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. </p>
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