1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ 2 3 /* 4 Copyright (C) 2006 StatPro Italia srl 5 6 This file is part of QuantLib, a free-software/open-source library 7 for financial quantitative analysts and developers - http://quantlib.org/ 8 9 QuantLib is free software: you can redistribute it and/or modify it 10 under the terms of the QuantLib license. You should have received a 11 copy of the license along with this program; if not, please email 12 <quantlib-dev@lists.sf.net>. The license is also available online at 13 <http://quantlib.org/license.shtml>. 14 15 This program is distributed in the hope that it will be useful, but WITHOUT 16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS 17 FOR A PARTICULAR PURPOSE. See the license for more details. 18 */ 19 20 #ifndef quantlib_multi_product_composite_hpp 21 #define quantlib_multi_product_composite_hpp 22 23 #include <ql/models/marketmodels/products/compositeproduct.hpp> 24 25 namespace QuantLib { 26 27 //! Composition of one or more market-model products 28 /*! Instances of this class build a multiple market-model product by 29 composing two or more subproducts. 30 31 \pre All subproducts must have the same rate times. 32 */ 33 class MultiProductComposite : public MarketModelComposite { 34 public: 35 //! \name MarketModelMultiProduct interface 36 //@{ 37 Size numberOfProducts() const; 38 Size maxNumberOfCashFlowsPerProductPerStep() const; 39 bool nextTimeStep( 40 const CurveState& currentState, 41 std::vector<Size>& numberCashFlowsThisStep, 42 std::vector<std::vector<CashFlow> >& cashFlowsGenerated); 43 #if defined(QL_USE_STD_UNIQUE_PTR) 44 std::unique_ptr<MarketModelMultiProduct> clone() const; 45 #else 46 std::auto_ptr<MarketModelMultiProduct> clone() const; 47 #endif 48 //@} 49 }; 50 51 } 52 53 54 #endif 55