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

 Copyright (C) 2006 Giorgio Facchinetti

 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.

#include <ql/MarketModels/Products/OneStep/onestepcoinitialswaps.hpp>

namespace QuantLib {

        const std::vector<Time>& rateTimes,
        const std::vector<Real>& fixedAccruals,
        const std::vector<Real>& floatingAccruals,
        const std::vector<Time>& paymentTimes,
        double fixedRate)
    : MultiProductOneStep(rateTimes),
      fixedAccruals_(fixedAccruals), floatingAccruals_(floatingAccruals),
      paymentTimes_(paymentTimes), fixedRate_(fixedRate) {
        // data checks
        lastIndex_ = rateTimes.size()-1;

    bool OneStepCoinitialSwaps::nextTimeStep(
            const CurveState& currentState,
            std::vector<Size>& numberCashFlowsThisStep,
            std::vector<std::vector<MarketModelMultiProduct::CashFlow> >&
                                                               genCashFlows) {

        for (Size indexOfTime=0;indexOfTime<lastIndex_;indexOfTime++) {
            Rate liborRate = currentState.forwardRate(indexOfTime);
            for (Size i=indexOfTime;i<lastIndex_;i++) {
                genCashFlows[i][(indexOfTime)*2].timeIndex = indexOfTime;
                genCashFlows[i][(indexOfTime)*2].amount =

                genCashFlows[i][(indexOfTime)*2+1].timeIndex = indexOfTime;
                genCashFlows[i][(indexOfTime)*2+1].amount =

                numberCashFlowsThisStep[i] += 2;
        return true ;

    OneStepCoinitialSwaps::clone() const {
        return std::auto_ptr<MarketModelMultiProduct>(
                                            new OneStepCoinitialSwaps(*this));


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