finalize (3) - Linux Manuals

finalize: Composition of two or more market-model products.

NAME

QuantLib::MarketModelComposite - Composition of two or more market-model products.

SYNOPSIS

#include <ql/models/marketmodels/products/compositeproduct.hpp>

Inherits QuantLib::MarketModelMultiProduct.

Inherited by MultiProductComposite, and SingleProductComposite.

Public Member Functions

MarketModelMultiProduct interface

const EvolutionDescription & evolution () const

std::vector< Size > suggestedNumeraires () const

std::vector< Time > possibleCashFlowTimes () const

void reset ()
during simulation put product at start of path

Composite facilities

void add (const Clone< MarketModelMultiProduct > &, Real multiplier=1.0)

void subtract (const Clone< MarketModelMultiProduct > &, Real multiplier=1.0)

void finalize ()

Size size () const

const MarketModelMultiProduct & item (Size i) const

MarketModelMultiProduct & item (Size i)

Real multiplier (Size i) const

Protected Types

typedef std::vector< SubProduct >::iterator iterator

typedef std::vector< SubProduct >::const_iterator const_iterator

Protected Attributes

std::vector< SubProduct > components_

std::vector< Time > rateTimes_

std::vector< Time > evolutionTimes_

EvolutionDescription evolution_

bool finalized_

Size currentIndex_

std::vector< Time > cashflowTimes_

std::vector< std::vector< Time > > allEvolutionTimes_

std::vector< std::vector< bool > > isInSubset_

Detailed Description

Composition of two or more market-model products.

Instances of this class build a market-model product by composing one or more subproducts.

Precondition:

All subproducts must have the same rate times.

Author

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