QuantLib_MarketModelEvolver man page

MarketModelEvolver — Market-model evolver.

Synopsis

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

Inherited by ConstrainedEvolver, LogNormalCmSwapRatePc, LogNormalCotSwapRatePc, LogNormalFwdRateBalland, LogNormalFwdRateEuler, LogNormalFwdRateiBalland, LogNormalFwdRateIpc, LogNormalFwdRatePc, NormalFwdRatePc, and SVDDFwdRatePc.

Public Member Functions

virtual const std::vector< Size > & numeraires () const =0

virtual Real startNewPath ()=0

virtual Real advanceStep ()=0

virtual Size currentStep () const =0

virtual const CurveState & currentState () const =0

virtual void setInitialState (const CurveState &)=0

Detailed Description

Market-model evolver.

Abstract base class. The evolver does the actual gritty work of evolving the forward rates from one time to the next.

Author

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Info

Fri Sep 23 2016 Version 1.8.1 QuantLib