Logo Search packages:      
Sourcecode: quantlib version File versions


/* -*- 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.

#ifndef quantlib_MarketModelCoinitialSwapsOneStep_hpp
#define quantlib_MarketModelCoinitialSwapsOneStep_hpp

#include <ql/MarketModels/Products/multiproductonestep.hpp>

namespace QuantLib {
    class OneStepCoinitialSwaps : public MultiProductOneStep {
        OneStepCoinitialSwaps(const std::vector<Time>& rateTimes,
                              const std::vector<Real>& fixedAccruals,
                              const std::vector<Real>& floatingAccruals,
                              const std::vector<Time>& paymentTimes,
                              double fixedRate);
        //! \name MarketModelMultiProduct interface
        std::vector<Time> possibleCashFlowTimes() const;
        Size numberOfProducts() const;
        Size maxNumberOfCashFlowsPerProductPerStep() const;
        void reset();
        bool nextTimeStep(
                     const CurveState& currentState,
                     std::vector<Size>& numberCashFlowsThisStep,
                     std::vector<std::vector<CashFlow> >& cashFlowsGenerated);
        std::auto_ptr<MarketModelMultiProduct> clone() const;
        std::vector<Real> fixedAccruals_, floatingAccruals_;
        std::vector<Time> paymentTimes_;
        double fixedRate_;
        Size lastIndex_;

    // inline definitions

    inline std::vector<Time>
    OneStepCoinitialSwaps::possibleCashFlowTimes() const {
        return paymentTimes_;

    inline Size OneStepCoinitialSwaps::numberOfProducts() const {
        return lastIndex_;

    inline Size
    OneStepCoinitialSwaps::maxNumberOfCashFlowsPerProductPerStep() const {
        return 2*lastIndex_;

    inline void OneStepCoinitialSwaps::reset() {
        // nothing to do



Generated by  Doxygen 1.6.0   Back to index