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Class MultiProductPathwiseWrapper

MultiStepPathwiseWrapper Pathwise products do everything that ordinary products do and more. This lets you treat a pathwise product as an ordinary product. So you only have to write the product once.

tested

in MarketModels::testInverseFloater()

Hierarchy

Index

Classes

Constructors

Properties

Methods

Constructors

constructor

Properties

Private _cashFlowsGenerated

_cashFlowsGenerated: CashFlow[][]

Private _innerProduct

_innerProduct: MarketModelPathwiseMultiProduct

Private _numberOfProducts

_numberOfProducts: Size

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[]