QuantLib_LogNormalFwdRateEulerConstrained (3) Linux Manual Page
QuantLib::LogNormalFwdRateEulerConstrained – euler stepping
Synopsis
#include <ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.hpp>Inherits QuantLib::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::vector< 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 &)