QuantLib_LogNormalFwdRateEulerConstrained man page

LogNormalFwdRateEulerConstrained — euler stepping  


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

Inherits ConstrainedEvolver.

Public Member Functions

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

MarketModelConstrained interface

virtual void setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &endIndexOfSwapRate)
call once
virtual void setThisConstraint (const std::vector< Rate > &rateConstraints, const std::valarray< bool > &isConstraintActive)
call before each path

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 stepping


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Referenced By

The man page LogNormalFwdRateEulerConstrained(3) is an alias of QuantLib_LogNormalFwdRateEulerConstrained(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib