QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
MarketModel Class Referenceabstract

base class for market models More...

#include <marketmodel.hpp>

+ Inheritance diagram for MarketModel:
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Public Member Functions

virtual ~MarketModel ()=default
 
virtual const std::vector< Rate > & initialRates () const =0
 
virtual const std::vector< Spread > & displacements () const =0
 
virtual const EvolutionDescriptionevolution () const =0
 
virtual Size numberOfRates () const =0
 
virtual Size numberOfFactors () const =0
 
virtual Size numberOfSteps () const =0
 
virtual const MatrixpseudoRoot (Size i) const =0
 
virtual const Matrixcovariance (Size i) const
 
virtual const MatrixtotalCovariance (Size endIndex) const
 
std::vector< VolatilitytimeDependentVolatility (Size i) const
 

Private Attributes

std::vector< Matrixcovariance_
 
std::vector< MatrixtotalCovariance_
 

Detailed Description

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.

Constructor & Destructor Documentation

◆ ~MarketModel()

virtual ~MarketModel ( )
virtualdefault

Member Function Documentation

◆ initialRates()

virtual const std::vector< Rate > & initialRates ( ) const
pure virtual

Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.

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◆ displacements()

virtual const std::vector< Spread > & displacements ( ) const
pure virtual

Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.

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◆ evolution()

virtual const EvolutionDescription & evolution ( ) const
pure virtual

Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.

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◆ numberOfRates()

virtual Size numberOfRates ( ) const
pure virtual

Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.

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◆ numberOfFactors()

virtual Size numberOfFactors ( ) const
pure virtual

Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.

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◆ numberOfSteps()

virtual Size numberOfSteps ( ) const
pure virtual

Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.

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◆ pseudoRoot()

virtual const Matrix & pseudoRoot ( Size  i) const
pure virtual

Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.

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◆ covariance()

const Matrix & covariance ( Size  i) const
virtual

Definition at line 28 of file marketmodel.cpp.

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◆ totalCovariance()

const Matrix & totalCovariance ( Size  endIndex) const
virtual

Definition at line 40 of file marketmodel.cpp.

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◆ timeDependentVolatility()

std::vector< Volatility > timeDependentVolatility ( Size  i) const

Definition at line 55 of file marketmodel.cpp.

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Member Data Documentation

◆ covariance_

std::vector<Matrix> covariance_
mutableprivate

Definition at line 53 of file marketmodel.hpp.

◆ totalCovariance_

std::vector<Matrix> totalCovariance_
private

Definition at line 53 of file marketmodel.hpp.