LogNormalFwdRateEulerConstrained Class Reference

euler stepping More...

#include <ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.hpp>

Inheritance diagram for LogNormalFwdRateEulerConstrained:

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Public Member Functions
	LogNormalFwdRateEulerConstrained (const ext::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0)
MarketModelConstrained interface
void	setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &endIndexOfSwapRate) override
	call once More...
void	setThisConstraint (const std::vector< Rate > &rateConstraints, const std::valarray< bool > &isConstraintActive) override
	call before each path More...
Public Member Functions inherited from ConstrainedEvolver
	~ConstrainedEvolver () override=default
virtual void	setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &EndIndexOfSwapRate)=0
	call once More...
virtual void	setThisConstraint (const std::vector< Rate > &rateConstraints, const std::valarray< bool > &isConstraintActive)=0
	call before each path More...
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< Size >	startIndexOfSwapRate_
std::vector< Size >	endIndexOfSwapRate_
std::vector< Rate >	rateConstraints_
std::valarray< bool >	isConstraintActive_
std::vector< std::vector< Real > >	fixedDrifts_
std::vector< std::vector< Real > >	variances_
std::vector< std::vector< Real > >	covariances_
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 >	brownians_
std::vector< Real >	correlatedBrownians_
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

euler stepping

Definition at line 37 of file lognormalfwdrateeulerconstrained.hpp.

Constructor & Destructor Documentation

LogNormalFwdRateEulerConstrained()

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

Definition at line 31 of file lognormalfwdrateeulerconstrained.cpp.

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Member Function Documentation

setConstraintType()

void setConstraintType ( const std::vector< Size > &  startIndexOfSwapRate, const std::vector< Size > &  EndIndexOfSwapRate  )

overridevirtual

call once

Implements ConstrainedEvolver.

Definition at line 97 of file lognormalfwdrateeulerconstrained.cpp.

setThisConstraint()

void setThisConstraint ( const std::vector< Rate > &  rateConstraints, const std::valarray< bool > &  isConstraintActive  )

overridevirtual

call before each path

Implements ConstrainedEvolver.

Definition at line 131 of file lognormalfwdrateeulerconstrained.cpp.

numeraires()

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

overridevirtual

Implements MarketModelEvolver.

Definition at line 79 of file lognormalfwdrateeulerconstrained.cpp.

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startNewPath()

Real startNewPath ( )

overridevirtual

Implements MarketModelEvolver.

Definition at line 150 of file lognormalfwdrateeulerconstrained.cpp.

advanceStep()

Real advanceStep ( )

overridevirtual

Implements MarketModelEvolver.

Definition at line 157 of file lognormalfwdrateeulerconstrained.cpp.

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currentStep()

Size currentStep ( ) const

overridevirtual

Implements MarketModelEvolver.

Definition at line 226 of file lognormalfwdrateeulerconstrained.cpp.

currentState()

const CurveState & currentState ( ) const

overridevirtual

Implements MarketModelEvolver.

Definition at line 230 of file lognormalfwdrateeulerconstrained.cpp.

setInitialState()

void setInitialState ( const CurveState &  cs )

overridevirtual

Implements MarketModelEvolver.

Definition at line 93 of file lognormalfwdrateeulerconstrained.cpp.

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setForwards()

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

private

Definition at line 83 of file lognormalfwdrateeulerconstrained.cpp.

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Member Data Documentation

marketModel_

ext::shared_ptr<MarketModel> marketModel_

private

Definition at line 63 of file lognormalfwdrateeulerconstrained.hpp.

numeraires_

std::vector<Size> numeraires_

private

Definition at line 64 of file lognormalfwdrateeulerconstrained.hpp.

initialStep_

Size initialStep_

private

Definition at line 65 of file lognormalfwdrateeulerconstrained.hpp.

generator_

ext::shared_ptr<BrownianGenerator> generator_

private

Definition at line 66 of file lognormalfwdrateeulerconstrained.hpp.

startIndexOfSwapRate_

std::vector<Size> startIndexOfSwapRate_

private

Definition at line 68 of file lognormalfwdrateeulerconstrained.hpp.

endIndexOfSwapRate_

std::vector<Size> endIndexOfSwapRate_

private

Definition at line 69 of file lognormalfwdrateeulerconstrained.hpp.

rateConstraints_

std::vector<Rate> rateConstraints_

private

Definition at line 72 of file lognormalfwdrateeulerconstrained.hpp.

isConstraintActive_

std::valarray<bool> isConstraintActive_

private

Definition at line 73 of file lognormalfwdrateeulerconstrained.hpp.

fixedDrifts_

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

private

Definition at line 76 of file lognormalfwdrateeulerconstrained.hpp.

variances_

std::vector<std::vector<Real> > variances_

private

Definition at line 77 of file lognormalfwdrateeulerconstrained.hpp.

covariances_

std::vector<std::vector<Real> > covariances_

private

Definition at line 80 of file lognormalfwdrateeulerconstrained.hpp.

numberOfRates_

Size numberOfRates_

private

Definition at line 82 of file lognormalfwdrateeulerconstrained.hpp.

numberOfFactors_

Size numberOfFactors_

private

Definition at line 82 of file lognormalfwdrateeulerconstrained.hpp.

curveState_

LMMCurveState curveState_

private

Definition at line 83 of file lognormalfwdrateeulerconstrained.hpp.

currentStep_

Size currentStep_

private

Definition at line 84 of file lognormalfwdrateeulerconstrained.hpp.

forwards_

std::vector<Rate> forwards_

private

Definition at line 85 of file lognormalfwdrateeulerconstrained.hpp.

displacements_

std::vector<Rate> displacements_

private

Definition at line 85 of file lognormalfwdrateeulerconstrained.hpp.

logForwards_

std::vector<Rate> logForwards_

private

Definition at line 85 of file lognormalfwdrateeulerconstrained.hpp.

initialLogForwards_

std::vector<Rate> initialLogForwards_

private

Definition at line 85 of file lognormalfwdrateeulerconstrained.hpp.

drifts1_

std::vector<Real> drifts1_

private

Definition at line 86 of file lognormalfwdrateeulerconstrained.hpp.

initialDrifts_

std::vector<Real> initialDrifts_

private

Definition at line 86 of file lognormalfwdrateeulerconstrained.hpp.

brownians_

std::vector<Real> brownians_

private

Definition at line 87 of file lognormalfwdrateeulerconstrained.hpp.

correlatedBrownians_

std::vector<Real> correlatedBrownians_

private

Definition at line 87 of file lognormalfwdrateeulerconstrained.hpp.

alive_

std::vector<Size> alive_

private

Definition at line 88 of file lognormalfwdrateeulerconstrained.hpp.

calculators_

std::vector<LMMDriftCalculator> calculators_

private

Definition at line 90 of file lognormalfwdrateeulerconstrained.hpp.