1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2006 Ferdinando Ametrano
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 
21 #ifndef quantlib_multiproduct_multistep_hpp
22 #define quantlib_multiproduct_multistep_hpp
23 
24 #include <ql/models/marketmodels/multiproduct.hpp>
25 #include <ql/models/marketmodels/evolutiondescription.hpp>
26 
27 namespace QuantLib {
28 
29     //! Multiple-step market-model product
30     /*! This is the abstract base class that encapsulates the notion
31         of a MarketModelMultiProduct which can be evaluated in a more
32         than one step (aka Rebonato's long jump).
33     */
34     class MultiProductMultiStep : public MarketModelMultiProduct {
35       public:
36         explicit MultiProductMultiStep(const std::vector<Time>& rateTimes);
37         //! \name MarketModelMultiProduct interface
38         //@{
39         std::vector<Size> suggestedNumeraires() const;
40         const EvolutionDescription& evolution() const;
41         //@}
42       protected:
43         std::vector<Time> rateTimes_;
44         EvolutionDescription evolution_;
45     };
46 
47 }
48 
49 #endif
50