QuantLib_EvolutionDescription man page

EvolutionDescription — Market-model evolution description.  


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

Public Member Functions

EvolutionDescription (const std::vector< Time > &rateTimes, const std::vector< Time > &evolutionTimes=std::vector< Time >(), const std::vector< std::pair< Size, Size > > &relevanceRates=std::vector< range >())
const std::vector< Time > & rateTimes () const
const std::vector< Time > & rateTaus () const
const std::vector< Time > & evolutionTimes () const
const std::vector< Size > & firstAliveRate () const
const std::vector< std::pair< Size, Size > > & relevanceRates () const
Size numberOfRates () const
Size numberOfSteps () const

Detailed Description

Market-model evolution description.

This class stores:


evolutionTimes = the times at which the rates need to be known,


rateTimes = the times defining the rates that are to be evolved,


relevanceRates = which rates need to be known at each time.

This class is really just a tuple of evolution and rate times;

   |-----|-----|-----|-----|-----|      (size = 6)
   t0    t1    t2    t3    t4    t5     rateTimes
   f0    f1    f2    f3    f4           forwardRates
   d0    d1    d2    d3    d4    d5     discountBonds
   d0/d0 d1/d0 d2/d0 d3/d0 d4/d0 d5/d0  discountRatios
   sr0   sr1   sr2   sr3   sr4          coterminalSwaps


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Referenced By

EvolutionDescription(3), evolutionTimes(3), firstAliveRate(3) and relevanceRates(3) are aliases of QuantLib_EvolutionDescription(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib