LogNormalFwdRateIpc Class Reference

Iterative Predictor-Corrector. More...

#include <lognormalfwdrateipc.hpp>

Inheritance diagram for LogNormalFwdRateIpc:

Collaboration diagram for LogNormalFwdRateIpc:

Public Member Functions
	LogNormalFwdRateIpc (const ext::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0)
Public Member Functions inherited from MarketModelEvolver
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

MarketModel interface
ext::shared_ptr< MarketModel >	marketModel_
std::vector< Size >	numeraires_
Size	initialStep_
ext::shared_ptr< BrownianGenerator >	generator_
std::vector< std::vector< Real > >	fixedDrifts_
Size	numberOfRates_
Size	numberOfFactors_
LMMCurveState	curveState_
Size	currentStep_
std::vector< Rate >	forwards_
std::vector< Rate >	displacements_
std::vector< Rate >	logForwards_
std::vector< Rate >	initialLogForwards_
std::vector< Real >	drifts1_
std::vector< Real >	initialDrifts_
std::vector< Real >	g_
std::vector< Real >	brownians_
std::vector< Real >	correlatedBrownians_
std::vector< Time >	rateTaus_
std::vector< Size >	alive_
std::vector< LMMDriftCalculator >	calculators_
const std::vector< Size > &	numeraires () const override
Real	startNewPath () override
Real	advanceStep () override
Size	currentStep () const override
const CurveState &	currentState () const override
void	setInitialState (const CurveState &) override
void	setForwards (const std::vector< Real > &forwards)

Detailed Description

Iterative Predictor-Corrector.

Definition at line 35 of file lognormalfwdrateipc.hpp.

Constructor & Destructor Documentation

LogNormalFwdRateIpc()

LogNormalFwdRateIpc	(	const ext::shared_ptr< MarketModel > &	marketModel,
		const BrownianGeneratorFactory &	factory,
		const std::vector< Size > &	numeraires,
		Size	initialStep = 0
	)

Definition at line 29 of file lognormalfwdrateipc.cpp.

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Member Function Documentation

numeraires()

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

overridevirtual

Implements MarketModelEvolver.

Definition at line 77 of file lognormalfwdrateipc.cpp.

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startNewPath()

Real startNewPath ( )

overridevirtual

Implements MarketModelEvolver.

Definition at line 95 of file lognormalfwdrateipc.cpp.

advanceStep()

Real advanceStep ( )

overridevirtual

Implements MarketModelEvolver.

Definition at line 102 of file lognormalfwdrateipc.cpp.

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currentStep()

Size currentStep ( ) const

overridevirtual

Implements MarketModelEvolver.

Definition at line 143 of file lognormalfwdrateipc.cpp.

currentState()

const CurveState & currentState ( ) const

overridevirtual

Implements MarketModelEvolver.

Definition at line 147 of file lognormalfwdrateipc.cpp.

setInitialState()

void setInitialState ( const CurveState &  cs )

overridevirtual

Implements MarketModelEvolver.

Definition at line 91 of file lognormalfwdrateipc.cpp.

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setForwards()

void setForwards ( const std::vector< Real > &  forwards )

private

Definition at line 81 of file lognormalfwdrateipc.cpp.

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Member Data Documentation

marketModel_

ext::shared_ptr<MarketModel> marketModel_

private

Definition at line 53 of file lognormalfwdrateipc.hpp.

numeraires_

std::vector<Size> numeraires_

private

Definition at line 54 of file lognormalfwdrateipc.hpp.

initialStep_

Size initialStep_

private

Definition at line 55 of file lognormalfwdrateipc.hpp.

generator_

ext::shared_ptr<BrownianGenerator> generator_

private

Definition at line 56 of file lognormalfwdrateipc.hpp.

fixedDrifts_

std::vector<std::vector<Real> > fixedDrifts_

private

Definition at line 58 of file lognormalfwdrateipc.hpp.

numberOfRates_

Size numberOfRates_

private

Definition at line 60 of file lognormalfwdrateipc.hpp.

numberOfFactors_

Size numberOfFactors_

private

Definition at line 60 of file lognormalfwdrateipc.hpp.

curveState_

LMMCurveState curveState_

private

Definition at line 61 of file lognormalfwdrateipc.hpp.

currentStep_

Size currentStep_

private

Definition at line 62 of file lognormalfwdrateipc.hpp.

forwards_

std::vector<Rate> forwards_

private

Definition at line 63 of file lognormalfwdrateipc.hpp.

displacements_

std::vector<Rate> displacements_

private

Definition at line 63 of file lognormalfwdrateipc.hpp.

logForwards_

std::vector<Rate> logForwards_

private

Definition at line 63 of file lognormalfwdrateipc.hpp.

initialLogForwards_

std::vector<Rate> initialLogForwards_

private

Definition at line 63 of file lognormalfwdrateipc.hpp.

drifts1_

std::vector<Real> drifts1_

private

Definition at line 64 of file lognormalfwdrateipc.hpp.

initialDrifts_

std::vector<Real> initialDrifts_

private

Definition at line 64 of file lognormalfwdrateipc.hpp.

g_

std::vector<Real> g_

private

Definition at line 64 of file lognormalfwdrateipc.hpp.

brownians_

std::vector<Real> brownians_

private

Definition at line 65 of file lognormalfwdrateipc.hpp.

correlatedBrownians_

std::vector<Real> correlatedBrownians_

private

Definition at line 65 of file lognormalfwdrateipc.hpp.

rateTaus_

std::vector<Time> rateTaus_

private

Definition at line 66 of file lognormalfwdrateipc.hpp.

alive_

std::vector<Size> alive_

private

Definition at line 67 of file lognormalfwdrateipc.hpp.

calculators_

std::vector<LMMDriftCalculator> calculators_

private

Definition at line 70 of file lognormalfwdrateipc.hpp.