23#ifndef quantlib_marketmodel_hpp
24#define quantlib_marketmodel_hpp
33 class EvolutionDescription;
60 virtual ext::shared_ptr<MarketModel>
create(
62 Size numberOfFactors)
const = 0;
Market-model evolution description.
base class for market-model factories
virtual ext::shared_ptr< MarketModel > create(const EvolutionDescription &, Size numberOfFactors) const =0
~MarketModelFactory() override=default
base class for market models
std::vector< Volatility > timeDependentVolatility(Size i) const
virtual const Matrix & covariance(Size i) const
virtual Size numberOfFactors() const =0
std::vector< Matrix > totalCovariance_
virtual ~MarketModel()=default
virtual const Matrix & totalCovariance(Size endIndex) const
std::vector< Matrix > covariance_
virtual const std::vector< Rate > & initialRates() const =0
virtual const Matrix & pseudoRoot(Size i) const =0
virtual Size numberOfSteps() const =0
virtual const EvolutionDescription & evolution() const =0
virtual const std::vector< Spread > & displacements() const =0
virtual Size numberOfRates() const =0
Matrix used in linear algebra.
Object that notifies its changes to a set of observers.
std::size_t Size
size of a container
matrix used in linear algebra.
observer/observable pattern