numeraires (3) Linux Manual Page

QuantLib::MarketModelEvolver – Market-model evolver.

Synopsis

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

Inherited by ConstrainedEvolver, LogNormalCmSwapRatePc, LogNormalCotSwapRatePc, LogNormalFwdRateEuler, 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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