MarketModelPathwiseCashRebate Class Reference

#include <ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.hpp>

Inheritance diagram for MarketModelPathwiseCashRebate:

List of all members.

Public Member Functions

 MarketModelPathwiseCashRebate (const EvolutionDescription &evolution, const std::vector< Time > &paymentTimes, const Matrix &amounts, Size numberOfProducts)
virtual std::vector< Size > suggestedNumeraires () const
virtual const
EvolutionDescription
evolution () const
virtual std::vector< Time > possibleCashFlowTimes () const
virtual Size numberOfProducts () const
virtual Size maxNumberOfCashFlowsPerProductPerStep () const
virtual void reset ()
 during simulation put product at start of path
virtual bool alreadyDeflated () const
virtual bool nextTimeStep (const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< MarketModelPathwiseMultiProduct::CashFlow > > &cashFlowsGenerated)
 return value indicates whether path is finished, TRUE means done
virtual std::auto_ptr
< MarketModelPathwiseMultiProduct
clone () const
 returns a newly-allocated copy of itself


Detailed Description

Swap for doing simple cash rebate. Fairly useless when used directly, but if we want to look a breakable swap it becomes useful.