#include <ql/models/marketmodels/products/multistep/cashrebate.hpp>
Public Member Functions | |
MarketModelCashRebate (const EvolutionDescription &evolution, const std::vector< Time > &paymentTimes, const Matrix &amounts, Size numberOfProducts) | |
MarketModelMultiProduct interface | |
std::vector< Size > | suggestedNumeraires () const |
const EvolutionDescription & | evolution () const |
std::vector< Time > | possibleCashFlowTimes () const |
Size | numberOfProducts () const |
Size | maxNumberOfCashFlowsPerProductPerStep () const |
void | reset () |
during simulation put product at start of path | |
bool | nextTimeStep (const CurveState ¤tState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated) |
return value indicates whether path is finished, TRUE means done | |
std::auto_ptr< MarketModelMultiProduct > | clone () const |
returns a newly-allocated copy of itself | |
Class to model receipt of a fixed cash amount once. Product terminates immediately. Mainly useful as rebate received when another product is cancelled.