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;

·
there will be n+1 rate times expressing payment and reset times of forward rates.
·
there will be any number of evolution times.
·
we also store which part of the rates are relevant for pricing via relevance rates. The important part for the i-th step will then range from relevanceRates[i].first to relevanceRates[i].second. Default values for relevance rates will be 0 and n.
·
example for n = 5:
|-----|-----|-----|-----|-----|      (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

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Referenced By

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

Fri Sep 23 2016 Version 1.8.1 QuantLib