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QuantLib_MarketModelEvolver
Langue: en
Version: 383643 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::MarketModelEvolver -Market-model evolver.
SYNOPSIS
#include <ql/models/marketmodels/evolver.hpp>
Inherited by ConstrainedEvolver, LogNormalCmSwapRatePc, LogNormalCotSwapRatePc, LogNormalFwdRateBalland, LogNormalFwdRateEuler, LogNormalFwdRateiBalland, LogNormalFwdRateIpc, LogNormalFwdRatePc, NormalFwdRatePc, and SVDDFwdRatePc.
Public Member Functions
virtual const std::vector< Size > & numeraires () const =0
virtual Real startNewPath ()=0
virtual Real advanceStep ()=0
virtual Size currentStep () const =0
virtual const CurveState & currentState () const =0
virtual void setInitialState (const CurveState &)=0
Detailed Description
Market-model evolver.
Abstract base class. The evolver does the actual gritty work of evolving the forward rates from one time to the next.
Author
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