functions to construct and use Market Models Products objects.
The first step is to load the QuantLib package.
Needs["QuantLib`"]
Within the Products part there are several constructors and member functions available
In[45]:=
Select[Category[Products],QLConstructor[#]&]
Out[45]=
In[46]:=
Select[Category[Products],QLMember[#]&]
Out[46]=
MarketModelMultiProductComposite
In[47]:=
obj=MarketModelMultiProductComposite[]
Out[47]=
MarketModelOneStepForwards
In[48]:=
In[52]:=
obj=MarketModelOneStepForwards[RateTimes,Accruals,PaymentTimes,Strikes]
Out[52]=
MarketModelMultiStepRatchet
In[53]:=
In[62]:=
obj=MarketModelMultiStepRatchet[RateTimes,Accruals,PaymentTimes,GearingOfFloor,GearingOfFixing,SpreadOfFloor,SpreadOfFixing,InitialFloor,Payer]
Out[62]=
MarketModelOneStepOptionlets
obj=MarketModelOneStepOptionlets[RateTimes,Accruals,PaymentTimes,Payoffs]
MarketModelMultiProductCompositeAdd
MarketModelMultiProductCompositeAdd[obj,Product]
MarketModelMultiProductCompositeFinalize
In[63]:=
MarketModelMultiProductCompositeFinalize[obj]
MarketModelMultiProductSuggestedNumeraires
MarketModelMultiProductSuggestedNumeraires[obj]
MarketModelMultiProductPossibleCashFlowTimes
MarketModelMultiProductPossibleCashFlowTimes[obj]
MarketModelMultiProductNumberOfProducts
MarketModelMultiProductNumberOfProducts[obj]
MarketModelMultiProductMaxNumberOfCashFlowsPerProductPerStep
MarketModelMultiProductMaxNumberOfCashFlowsPerProductPerStep[obj]