QuantLib_EvolutionDescription (3) - Linux Manuals

QuantLib_EvolutionDescription: Market-model evolution description.


QuantLib::EvolutionDescription - Market-model evolution description.


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

Public Member Functions

EvolutionDescription (const std::vector< Time > &rateTimes, const std::vector< Time > &evolutionTimes=std::vector< Time >(), const std::vector< std::pair< Size, Size > > &relevanceRates=std::vector< range >())

const std::vector< Time > & rateTimes () const

const std::vector< Time > & rateTaus () const

const std::vector< Time > & evolutionTimes () const

const std::vector< Size > & firstAliveRate () const

const std::vector< std::pair< Size, Size > > & relevanceRates () const

Size numberOfRates () const

Size numberOfSteps () const

Detailed Description

Market-model evolution description.

This class stores:

evolutionTimes = the times defining the rates that are to be evolved,
rateTimes = the times at which the rates need to be known,
relevanceRates = which rates need to be known at each time.

This class is really just a tuple of evolution and rate times;

there will be n+1 rate times expressing payment and reset times of forward rates.
there will be any number of evolution times.
we also store which part of the rates are relevant for pricing via relevance rates. The important part for the i-th step will then range from relevanceRates[i].first to relevanceRates[i].second. Default values for relevance rates will be 0 and n.
example for n = 5:

           |-----|-----|-----|-----|-----|      (size = 6)
           t0    t1    t2    t3    t4    t5     rateTimes
           f0    f1    f2    f3    f4           forwardRates
           d0    d1    d2    d3    d4    d5     discountBonds
           d0/d0 d1/d0 d2/d0 d3/d0 d4/d0 d5/d0  discountRatios
           sr0   sr1   sr2   sr3   sr4          coterminalSwaps



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