- QuantLib
- MultiStepSwaption
 
#include <ql/models/marketmodels/products/multistep/multistepswaption.hpp>

| Public Member Functions | |
| MultiStepSwaption (const std::vector< Time > &rateTimes, Size startIndex, Size endIndex, boost::shared_ptr< StrikedTypePayoff > &) | |
| MarketModelMultiProduct interface | |
| 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 | |
Price a swaption associated to a contiguous subset of rates. Useful only for testing purposes. Steps through all rate times up to start of swap.