QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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base class for market models More...
#include <marketmodel.hpp>
Public Member Functions | |
virtual | ~MarketModel ()=default |
virtual const std::vector< Rate > & | initialRates () const =0 |
virtual const std::vector< Spread > & | displacements () const =0 |
virtual const EvolutionDescription & | evolution () const =0 |
virtual Size | numberOfRates () const =0 |
virtual Size | numberOfFactors () const =0 |
virtual Size | numberOfSteps () const =0 |
virtual const Matrix & | pseudoRoot (Size i) const =0 |
virtual const Matrix & | covariance (Size i) const |
virtual const Matrix & | totalCovariance (Size endIndex) const |
std::vector< Volatility > | timeDependentVolatility (Size i) const |
Private Attributes | |
std::vector< Matrix > | covariance_ |
std::vector< Matrix > | totalCovariance_ |
base class for market models
For each time step, generates the pseudo-square root of the covariance matrix for that time step.
Definition at line 39 of file marketmodel.hpp.
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virtualdefault |
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pure virtual |
Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.
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pure virtual |
Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.
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pure virtual |
Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.
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pure virtual |
Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.
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pure virtual |
Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.
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pure virtual |
Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.
Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.
Definition at line 28 of file marketmodel.cpp.
Definition at line 40 of file marketmodel.cpp.
std::vector< Volatility > timeDependentVolatility | ( | Size | i | ) | const |
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mutableprivate |
Definition at line 53 of file marketmodel.hpp.
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private |
Definition at line 53 of file marketmodel.hpp.