market-model pathwise caplet More...
#include <ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.hpp>
 Inheritance diagram for MarketModelPathwiseMultiCaplet:
 Inheritance diagram for MarketModelPathwiseMultiCaplet:| Public Member Functions | |
| MarketModelPathwiseMultiCaplet (const std::vector< Time > &rateTimes, const std::vector< Real > &accruals, const std::vector< Time > &paymentTimes, const std::vector< Rate > &strikes) | |
| virtual std::vector< Size > | suggestedNumeraires () const | 
| virtual const EvolutionDescription & | evolution () const | 
| virtual std::vector< Time > | possibleCashFlowTimes () const | 
| virtual Size | numberOfProducts () const | 
| virtual Size | maxNumberOfCashFlowsPerProductPerStep () const | 
| virtual bool | alreadyDeflated () const | 
| virtual void | reset () | 
| during simulation put product at start of path | |
| virtual bool | nextTimeStep (const CurveState ¤tState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< MarketModelPathwiseMultiProduct::CashFlow > > &cashFlowsGenerated) | 
| return value indicates whether path is finished, TRUE means done | |
| virtual std::auto_ptr< MarketModelPathwiseMultiProduct > | clone () const | 
| returns a newly-allocated copy of itself | |
market-model pathwise caplet
implementation of path wise methodology for caplets, essentially a test class since we have better ways of computing Greeks of caplets
used in MarketModelTest::testPathwiseVegas and MarketModelTest::testPathwiseGreeks