Logo Search packages:      
Sourcecode: quantlib version File versions


/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 Copyright (C) 2006 Ferdinando Ametrano

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.

#ifndef quantlib_multiproduct_multistep_hpp
#define quantlib_multiproduct_multistep_hpp

#include <ql/MarketModels/marketmodelproduct.hpp>

namespace QuantLib {

    /*! This is the abstract base class that encapsulates the notion
        of a MarketModelMultiProduct which can be evaluated in a more
        than one step (aka Rebonato's long jump).
00032     class MultiProductMultiStep : public MarketModelMultiProduct {
        MultiProductMultiStep(const std::vector<Time>& rateTimes);
        //! \name MarketModelMultiProduct interface
        std::vector<Size> suggestedNumeraires() const;
        const EvolutionDescription& evolution() const;
        std::vector<Time> rateTimes_;
        EvolutionDescription evolution_;



Generated by  Doxygen 1.6.0   Back to index