MarketModelEvolver Class Reference

Market-model evolver. More...

#include <evolver.hpp>

Inheritance diagram for MarketModelEvolver:

Collaboration diagram for MarketModelEvolver:

Public Member Functions
virtual	~MarketModelEvolver ()=default
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.

Definition at line 35 of file evolver.hpp.

Constructor & Destructor Documentation

~MarketModelEvolver()

virtual ~MarketModelEvolver ( )

virtualdefault

Member Function Documentation

numeraires()

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

pure virtual

Implemented in LogNormalCmSwapRatePc, LogNormalCotSwapRatePc, LogNormalFwdRateBalland, LogNormalFwdRateEuler, LogNormalFwdRateEulerConstrained, LogNormalFwdRateiBalland, LogNormalFwdRateIpc, LogNormalFwdRatePc, NormalFwdRatePc, and SVDDFwdRatePc.

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startNewPath()

virtual Real startNewPath ( )

pure virtual

Implemented in LogNormalCmSwapRatePc, LogNormalCotSwapRatePc, LogNormalFwdRateBalland, LogNormalFwdRateEuler, LogNormalFwdRateEulerConstrained, LogNormalFwdRateiBalland, LogNormalFwdRateIpc, LogNormalFwdRatePc, NormalFwdRatePc, and SVDDFwdRatePc.

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advanceStep()

virtual Real advanceStep ( )

pure virtual

Implemented in LogNormalCmSwapRatePc, LogNormalCotSwapRatePc, LogNormalFwdRateBalland, LogNormalFwdRateEuler, LogNormalFwdRateEulerConstrained, LogNormalFwdRateiBalland, LogNormalFwdRateIpc, LogNormalFwdRatePc, NormalFwdRatePc, and SVDDFwdRatePc.

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currentStep()

virtual Size currentStep ( ) const

pure virtual

Implemented in LogNormalCmSwapRatePc, LogNormalCotSwapRatePc, LogNormalFwdRateBalland, LogNormalFwdRateEuler, LogNormalFwdRateEulerConstrained, LogNormalFwdRateiBalland, LogNormalFwdRateIpc, LogNormalFwdRatePc, NormalFwdRatePc, and SVDDFwdRatePc.

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currentState()

virtual const CurveState & currentState ( ) const

pure virtual

Implemented in LogNormalCmSwapRatePc, LogNormalCotSwapRatePc, LogNormalFwdRateBalland, LogNormalFwdRateEuler, LogNormalFwdRateEulerConstrained, LogNormalFwdRateiBalland, LogNormalFwdRateIpc, LogNormalFwdRatePc, NormalFwdRatePc, and SVDDFwdRatePc.

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setInitialState()

virtual void setInitialState ( const CurveState &  )

pure virtual

Implemented in LogNormalCmSwapRatePc, LogNormalCotSwapRatePc, LogNormalFwdRateBalland, LogNormalFwdRateEuler, LogNormalFwdRateEulerConstrained, LogNormalFwdRateiBalland, LogNormalFwdRateIpc, LogNormalFwdRatePc, NormalFwdRatePc, and SVDDFwdRatePc.