QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | List of all members
MarketModelCashRebate Class Reference

#include <ql/models/marketmodels/products/multistep/cashrebate.hpp>

+ Inheritance diagram for MarketModelCashRebate:

Public Member Functions

 MarketModelCashRebate (const EvolutionDescription &evolution, const std::vector< Time > &paymentTimes, const Matrix &amounts, Size numberOfProducts)
 
MarketModelMultiProduct interface
std::vector< SizesuggestedNumeraires () const
 
const EvolutionDescriptionevolution () const
 
std::vector< TimepossibleCashFlowTimes () const
 
Size numberOfProducts () const
 
Size maxNumberOfCashFlowsPerProductPerStep () const
 
void reset ()
 during simulation put product at start of path
 
bool nextTimeStep (const CurveState &currentState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated)
 return value indicates whether path is finished, TRUE means done
 
std::auto_ptr< MarketModelMultiProductclone () const
 returns a newly-allocated copy of itself
 

Detailed Description

Class to model receipt of a fixed cash amount once. Product terminates immediately. Mainly useful as rebate received when another product is cancelled.