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Class MultiProductMultiStep

Multiple-step market-model product

This is the abstract base class that encapsulates the notion of a MarketModelMultiProduct which can be evaluated in a more than one step (aka Rebonato's long jump).

Hierarchy

Index

Classes

Constructors

Properties

Methods

Constructors

constructor

  • Parameters

    Returns MultiProductMultiStep

Properties

Protected _evolution

_evolution: EvolutionDescription

Protected _rateTimes

_rateTimes: Time[]

Methods

clone

evolution

maxNumberOfCashFlowsPerProductPerStep

  • maxNumberOfCashFlowsPerProductPerStep(): Size

nextTimeStep

  • nextTimeStep(currentState: CurveState, numberCashFlowsThisStep: Size[], cashFlowsGenerated: CashFlow[][]): boolean

numberOfProducts

  • numberOfProducts(): Size

possibleCashFlowTimes

  • possibleCashFlowTimes(): Time[]

reset

  • reset(): void

suggestedNumeraires

  • suggestedNumeraires(): Size[]