22#ifndef quantlib_pseudoroot_facade_hpp
23#define quantlib_pseudoroot_facade_hpp
25#include <ql/models/marketmodels/models/ctsmmcapletcalibration.hpp>
26#include <ql/models/marketmodels/marketmodel.hpp>
27#include <ql/models/marketmodels/evolutiondescription.hpp>
28#include <ql/math/matrix.hpp>
37 const std::vector<Rate>& rateTimes,
86 "the index " << i <<
" is invalid: it must be less than "
Market-model evolution description.
base class for market models
Matrix used in linear algebra.
const std::vector< Spread > & displacements() const override
std::vector< Spread > displacements_
const std::vector< Rate > & initialRates() const override
const Matrix & pseudoRoot(Size i) const override
std::vector< Rate > initialRates_
const EvolutionDescription & evolution() const override
EvolutionDescription evolution_
Size numberOfFactors() const override
Size numberOfRates() const override
Size numberOfSteps() const override
std::vector< Matrix > covariancePseudoRoots_
std::size_t Size
size of a container