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QuantLib_LogNormalFwdRateIpc
Langue: en
Version: 380411 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::LogNormalFwdRateIpc -Iterative Predictor-Corrector.
SYNOPSIS
#include <ql/models/marketmodels/evolvers/lognormalfwdrateipc.hpp>
Inherits QuantLib::MarketModelEvolver.
Public Member Functions
LogNormalFwdRateIpc (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0)
MarketModel interface
const std::vector< Size > & numeraires () const
Real startNewPath ()
Real advanceStep ()
Size currentStep () const
const CurveState & currentState () const
void setInitialState (const CurveState &)
Detailed Description
Iterative Predictor-Corrector.
Author
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Contenus ©2006-2024 Benjamin Poulain
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