QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
MarketModelPathwiseDiscounter Class Reference

#include <ql/models/marketmodels/pathwisediscounter.hpp>

Public Member Functions

 MarketModelPathwiseDiscounter (Time paymentTime, const std::vector< Time > &rateTimes)
 
void getFactors (const Matrix &LIBORRates, const Matrix &Discounts, Size currentStep, std::vector< Real > &factors) const
 

Detailed Description

this class returns the number of units of the discretely compounding money market account that 1 unit of cash at the payment can buy using the LIBOR rates from current step.

It also returns the derivative of this number with respect to each of the rates.

Discounting is purely based on the simulation LIBOR rates, to get a discounting back to zero you need to multiply by the discount factor of t_0.