QuantLib_LogNormalFwdRateEuler man page

LogNormalFwdRateEuler — Euler.

Synopsis

#include <ql/models/marketmodels/evolvers/lognormalfwdrateeuler.hpp>

Inherits MarketModelEvolver.

Public Member Functions

LogNormalFwdRateEuler (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0)

const std::vector< Real > & browniansThisStep () const
accessor methods useful for doing pathwise vegas

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

Euler.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

browniansThisStep(3) and LogNormalFwdRateEuler(3) are aliases of QuantLib_LogNormalFwdRateEuler(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib