QuantLib_MarketModel man page

MarketModel — base class for market models  

Synopsis

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

Inherited by AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.

Public Member Functions

virtual const std::vector< Rate > & initialRates () const =0
virtual const std::vector< Spread > & displacements () const =0
virtual const EvolutionDescription & evolution () const =0
virtual Size numberOfRates () const =0
virtual Size numberOfFactors () const =0
virtual Size numberOfSteps () const =0
virtual const Matrix & pseudoRoot (Size i) const =0
virtual const Matrix & covariance (Size i) const
virtual const Matrix & totalCovariance (Size endIndex) const
std::vector< Volatility > timeDependentVolatility (Size i) const

Detailed Description

base class for market models

For each time step, generates the pseudo-square root of the covariance matrix for that time step.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages timeDependentVolatility(3) and totalCovariance(3) are aliases of QuantLib_MarketModel(3).

Wed Aug 2 2017 Version 1.10 QuantLib