21#ifndef quantlib_forward_rate_euler_evolver_hpp
22#define quantlib_forward_rate_euler_evolver_hpp
30 class BrownianGenerator;
31 class BrownianGeneratorFactory;
32 class LMMDriftCalculator;
40 Size initialStep = 0);
43 const std::vector<Size>&
numeraires()
const override;
60 void setForwards(
const std::vector<Real>& forwards);
Curve state for market-model simulations
Curve state for Libor market models
std::vector< Real > drifts1_
std::vector< Rate > displacements_
Real advanceStep() override
Real startNewPath() override
std::vector< Rate > forwards_
const CurveState & currentState() const override
void setForwards(const std::vector< Real > &forwards)
std::vector< Real > brownians_
const std::vector< Real > & browniansThisStep() const
accessor methods useful for doing pathwise vegas
std::vector< Rate > logForwards_
Size currentStep() const override
std::vector< std::vector< Real > > fixedDrifts_
std::vector< Size > alive_
std::vector< Rate > initialLogForwards_
ext::shared_ptr< MarketModel > marketModel_
std::vector< Real > initialDrifts_
std::vector< Size > numeraires_
std::vector< Real > correlatedBrownians_
const std::vector< Size > & numeraires() const override
std::vector< LMMDriftCalculator > calculators_
ext::shared_ptr< BrownianGenerator > generator_
LMMCurveState curveState_
void setInitialState(const CurveState &) override
std::size_t Size
size of a container