MarketModelCashRebate Class Reference

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

Inheritance diagram for MarketModelCashRebate:

List of all members.

Public Member Functions

 MarketModelCashRebate (const EvolutionDescription &evolution, const std::vector< Time > &paymentTimes, const Matrix &amounts, Size numberOfProducts)
MarketModelMultiProduct interface
std::vector< Size > suggestedNumeraires () const
const EvolutionDescriptionevolution () const
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


Detailed Description

Class to model receipt of a fixed cash amount once. Product terminates immediately. Mainly useful as rebate received when another product is cancelled.