QuantLib_EvolutionDescription man page

EvolutionDescription — Market-model evolution description.  

Synopsis

#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:

1.

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

2.

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

3.

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

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Fri Sep 1 2017 Version 1.10.1 QuantLib