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<div id="projectbrief">A free/open-source library for quantitative finance</div>
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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_multi_step_swaption.html">MultiStepSwaption</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">MultiStepSwaption Class Reference</div> </div>
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<p><code>#include <ql/models/marketmodels/products/multistep/multistepswaption.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for MultiStepSwaption:</div>
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<map name="_multi_step_swaption_inherit__map" id="a_multi_step_swaption_inherit__map">
<area shape="rect" title=" " alt="" coords="25,155,156,181"/>
<area shape="rect" href="class_quant_lib_1_1_multi_product_multi_step.html" title="Multiple-step market-model product." alt="" coords="15,80,166,107"/>
<area shape="rect" href="class_quant_lib_1_1_market_model_multi_product.html" title="market-model product" alt="" coords="5,5,176,32"/>
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<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a95e4974004297bb3573a28fbc2ff7994"><td class="memItemLeft" align="right" valign="top"><a id="a95e4974004297bb3573a28fbc2ff7994"></a>
 </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, ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_striked_type_payoff.html">StrikedTypePayoff</a> > &)</td></tr>
<tr class="separator:a95e4974004297bb3573a28fbc2ff7994"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_multi_product_multi_step"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_multi_product_multi_step')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_multi_product_multi_step.html">MultiProductMultiStep</a></td></tr>
<tr class="memitem:a8646c435d8d2ae90f0b7fbb459701486 inherit pub_methods_class_quant_lib_1_1_multi_product_multi_step"><td class="memItemLeft" align="right" valign="top"><a id="a8646c435d8d2ae90f0b7fbb459701486"></a>
 </td><td class="memItemRight" valign="bottom"><b>MultiProductMultiStep</b> (const std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > &rateTimes)</td></tr>
<tr class="separator:a8646c435d8d2ae90f0b7fbb459701486 inherit pub_methods_class_quant_lib_1_1_multi_product_multi_step"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a08576adcd83976500f06d56fe262e297 inherit pub_methods_class_quant_lib_1_1_multi_product_multi_step"><td class="memItemLeft" align="right" valign="top"><a id="a08576adcd83976500f06d56fe262e297"></a>
std::vector< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> > </td><td class="memItemRight" valign="bottom"><b>suggestedNumeraires</b> () const</td></tr>
<tr class="separator:a08576adcd83976500f06d56fe262e297 inherit pub_methods_class_quant_lib_1_1_multi_product_multi_step"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2d40586056119664f2d0dba92d994dd2 inherit pub_methods_class_quant_lib_1_1_multi_product_multi_step"><td class="memItemLeft" align="right" valign="top"><a id="a2d40586056119664f2d0dba92d994dd2"></a>
const <a class="el" href="class_quant_lib_1_1_evolution_description.html">EvolutionDescription</a> & </td><td class="memItemRight" valign="bottom"><b>evolution</b> () const</td></tr>
<tr class="separator:a2d40586056119664f2d0dba92d994dd2 inherit pub_methods_class_quant_lib_1_1_multi_product_multi_step"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="member-group"></a>
MarketModelMultiProduct interface</h2></td></tr>
<tr class="memitem:a56345a04dfd4a899330ba877f9ce8338"><td class="memItemLeft" align="right" valign="top"><a id="a56345a04dfd4a899330ba877f9ce8338"></a>
std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > </td><td class="memItemRight" valign="bottom"><b>possibleCashFlowTimes</b> () const</td></tr>
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<tr class="memitem:a4ee1c3d23c3b1309c9fec61ea61e0008"><td class="memItemLeft" align="right" valign="top"><a id="a4ee1c3d23c3b1309c9fec61ea61e0008"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>numberOfProducts</b> () const</td></tr>
<tr class="separator:a4ee1c3d23c3b1309c9fec61ea61e0008"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a78b94d97823f3fb601afe97af0b79556"><td class="memItemLeft" align="right" valign="top"><a id="a78b94d97823f3fb601afe97af0b79556"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>maxNumberOfCashFlowsPerProductPerStep</b> () const</td></tr>
<tr class="separator:a78b94d97823f3fb601afe97af0b79556"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad20897c5c8bd47f5d4005989bead0e55"><td class="memItemLeft" align="right" valign="top"><a id="ad20897c5c8bd47f5d4005989bead0e55"></a>
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 class="memdesc:ad20897c5c8bd47f5d4005989bead0e55"><td class="mdescLeft"> </td><td class="mdescRight">during simulation put product at start of path <br /></td></tr>
<tr class="separator:ad20897c5c8bd47f5d4005989bead0e55"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5ba8c0749807b349f90cbc0465907c3a"><td class="memItemLeft" align="right" valign="top"><a id="a5ba8c0749807b349f90cbc0465907c3a"></a>
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 class="memdesc:a5ba8c0749807b349f90cbc0465907c3a"><td class="mdescLeft"> </td><td class="mdescRight">return value indicates whether path is finished, TRUE means done <br /></td></tr>
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<tr class="memitem:a0462af7cdf66da6499bda664d7f84e53"><td class="memItemLeft" align="right" valign="top"><a id="a0462af7cdf66da6499bda664d7f84e53"></a>
std::auto_ptr< <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#a0462af7cdf66da6499bda664d7f84e53">clone</a> () const</td></tr>
<tr class="memdesc:a0462af7cdf66da6499bda664d7f84e53"><td class="mdescLeft"> </td><td class="mdescRight">returns a newly-allocated copy of itself <br /></td></tr>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_multi_product_multi_step"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_multi_product_multi_step')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_multi_product_multi_step.html">MultiProductMultiStep</a></td></tr>
<tr class="memitem:a7c5eaa190a38d0d5e7e28ce0a5dafc6f inherit pro_attribs_class_quant_lib_1_1_multi_product_multi_step"><td class="memItemLeft" align="right" valign="top"><a id="a7c5eaa190a38d0d5e7e28ce0a5dafc6f"></a>
std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > </td><td class="memItemRight" valign="bottom"><b>rateTimes_</b></td></tr>
<tr class="separator:a7c5eaa190a38d0d5e7e28ce0a5dafc6f inherit pro_attribs_class_quant_lib_1_1_multi_product_multi_step"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa5fabad6baffe7913d7edf93e4017faa inherit pro_attribs_class_quant_lib_1_1_multi_product_multi_step"><td class="memItemLeft" align="right" valign="top"><a id="aa5fabad6baffe7913d7edf93e4017faa"></a>
<a class="el" href="class_quant_lib_1_1_evolution_description.html">EvolutionDescription</a> </td><td class="memItemRight" valign="bottom"><b>evolution_</b></td></tr>
<tr class="separator:aa5fabad6baffe7913d7edf93e4017faa inherit pro_attribs_class_quant_lib_1_1_multi_product_multi_step"><td class="memSeparator" colspan="2"> </td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">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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