24#ifndef quantlib_libor_forward_model_process_hpp
25#define quantlib_libor_forward_model_process_hpp
74 ext::shared_ptr<IborIndex>
index()
const;
76 Real amount = 1.0)
const;
79 const ext::shared_ptr<LfmCovarianceParameterization>& param);
80 ext::shared_ptr<LfmCovarianceParameterization>
covarParam()
const;
90 const std::vector<Rate> & rates)
const;
95 const ext::shared_ptr<IborIndex>
index_;
96 ext::shared_ptr<LfmCovarianceParameterization>
lfmParam_;
Base class for cash flows.
1-D array used in linear algebra.
libor-forward-model process
Array drift(Time t, const Array &x) const override
returns the drift part of the equation, i.e.,
Size size() const override
returns the number of dimensions of the stochastic process
Leg cashFlows(Real amount=1.0) const
Array evolve(Time t0, const Array &x0, Time dt, const Array &dw) const override
const std::vector< Time > & fixingTimes() const
std::vector< Date > fixingDates_
const ext::shared_ptr< IborIndex > index_
ext::shared_ptr< LfmCovarianceParameterization > lfmParam_
Matrix diffusion(Time t, const Array &x) const override
returns the diffusion part of the equation, i.e.
std::vector< Time > accrualPeriod_
const std::vector< Time > & accrualEndTimes() const
Size factors() const override
returns the number of independent factors of the process
ext::shared_ptr< LfmCovarianceParameterization > covarParam() const
std::vector< Time > accrualEndTimes_
Matrix covariance(Time t0, const Array &x0, Time dt) const override
const std::vector< Time > & accrualStartTimes() const
Size nextIndexReset(Time t) const
Array initialValues() const override
returns the initial values of the state variables
std::vector< Time > fixingTimes_
std::vector< DiscountFactor > discountBond(const std::vector< Rate > &rates) const
void setCovarParam(const ext::shared_ptr< LfmCovarianceParameterization > ¶m)
Array apply(const Array &x0, const Array &dx) const override
const std::vector< Date > & fixingDates() const
ext::shared_ptr< IborIndex > index() const
std::vector< Time > accrualStartTimes_
Matrix used in linear algebra.
multi-dimensional stochastic process class.
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container
base class for Inter-Bank-Offered-Rate indexes
volatility & correlation function for libor forward model process
std::vector< ext::shared_ptr< CashFlow > > Leg
Sequence of cash-flows.
optionlet (caplet/floorlet) volatility structure