LogNormalFwdRateEuler Class Reference

Euler. More...

#include <lognormalfwdrateeuler.hpp>

Inheritance diagram for LogNormalFwdRateEuler:

Collaboration diagram for LogNormalFwdRateEuler:

Public Member Functions
	LogNormalFwdRateEuler (const ext::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0)
Public Member Functions inherited from MarketModelEvolver
virtual	~MarketModelEvolver ()=default
virtual const std::vector< Size > &	numeraires () const =0
virtual Real	startNewPath ()=0
virtual Real	advanceStep ()=0
virtual Size	currentStep () const =0
virtual const CurveState &	currentState () const =0
virtual void	setInitialState (const CurveState &)=0

MarketModel interface
ext::shared_ptr< MarketModel >	marketModel_
std::vector< Size >	numeraires_
Size	initialStep_
ext::shared_ptr< BrownianGenerator >	generator_
std::vector< std::vector< Real > >	fixedDrifts_
Size	numberOfRates_
Size	numberOfFactors_
LMMCurveState	curveState_
Size	currentStep_
std::vector< Rate >	forwards_
std::vector< Rate >	displacements_
std::vector< Rate >	logForwards_
std::vector< Rate >	initialLogForwards_
std::vector< Real >	drifts1_
std::vector< Real >	initialDrifts_
std::vector< Real >	brownians_
std::vector< Real >	correlatedBrownians_
std::vector< Size >	alive_
std::vector< LMMDriftCalculator >	calculators_
const std::vector< Size > &	numeraires () const override
Real	startNewPath () override
Real	advanceStep () override
Size	currentStep () const override
const CurveState &	currentState () const override
void	setInitialState (const CurveState &) override
const std::vector< Real > &	browniansThisStep () const
	accessor methods useful for doing pathwise vegas More...
void	setForwards (const std::vector< Real > &forwards)

Detailed Description

Euler.

Examples

MarketModels.cpp.

Definition at line 35 of file lognormalfwdrateeuler.hpp.

Constructor & Destructor Documentation

LogNormalFwdRateEuler()

LogNormalFwdRateEuler	(	const ext::shared_ptr< MarketModel > &	marketModel,
		const BrownianGeneratorFactory &	factory,
		const std::vector< Size > &	numeraires,
		Size	initialStep = 0
	)

Definition at line 29 of file lognormalfwdrateeuler.cpp.

Here is the call graph for this function:

Member Function Documentation

numeraires()

const std::vector< Size > & numeraires ( ) const

overridevirtual

Implements MarketModelEvolver.

Definition at line 74 of file lognormalfwdrateeuler.cpp.

Here is the caller graph for this function:

startNewPath()

Real startNewPath ( )

overridevirtual

Implements MarketModelEvolver.

Definition at line 92 of file lognormalfwdrateeuler.cpp.

advanceStep()

Real advanceStep ( )

overridevirtual

Implements MarketModelEvolver.

Definition at line 99 of file lognormalfwdrateeuler.cpp.

Here is the call graph for this function:

currentStep()

Size currentStep ( ) const

overridevirtual

Implements MarketModelEvolver.

Definition at line 135 of file lognormalfwdrateeuler.cpp.

currentState()

const CurveState & currentState ( ) const

overridevirtual

Implements MarketModelEvolver.

Definition at line 139 of file lognormalfwdrateeuler.cpp.

setInitialState()

void setInitialState ( const CurveState &  cs )

overridevirtual

Implements MarketModelEvolver.

Definition at line 88 of file lognormalfwdrateeuler.cpp.

Here is the call graph for this function:

browniansThisStep()

const std::vector< Real > & browniansThisStep

(

)

const

accessor methods useful for doing pathwise vegas

Definition at line 52 of file lognormalfwdrateeuler.hpp.

setForwards()

void setForwards ( const std::vector< Real > &  forwards )

private

Definition at line 78 of file lognormalfwdrateeuler.cpp.

Here is the caller graph for this function:

Member Data Documentation

marketModel_

ext::shared_ptr<MarketModel> marketModel_

private

Definition at line 62 of file lognormalfwdrateeuler.hpp.

numeraires_

std::vector<Size> numeraires_

private

Definition at line 63 of file lognormalfwdrateeuler.hpp.

initialStep_

Size initialStep_

private

Definition at line 64 of file lognormalfwdrateeuler.hpp.

generator_

ext::shared_ptr<BrownianGenerator> generator_

private

Definition at line 65 of file lognormalfwdrateeuler.hpp.

fixedDrifts_

std::vector<std::vector<Real> > fixedDrifts_

private

Definition at line 67 of file lognormalfwdrateeuler.hpp.

numberOfRates_

Size numberOfRates_

private

Definition at line 69 of file lognormalfwdrateeuler.hpp.

numberOfFactors_

Size numberOfFactors_

private

Definition at line 69 of file lognormalfwdrateeuler.hpp.

curveState_

LMMCurveState curveState_

private

Definition at line 70 of file lognormalfwdrateeuler.hpp.

currentStep_

Size currentStep_

private

Definition at line 71 of file lognormalfwdrateeuler.hpp.

forwards_

std::vector<Rate> forwards_

private

Definition at line 72 of file lognormalfwdrateeuler.hpp.

displacements_

std::vector<Rate> displacements_

private

Definition at line 72 of file lognormalfwdrateeuler.hpp.

logForwards_

std::vector<Rate> logForwards_

private

Definition at line 72 of file lognormalfwdrateeuler.hpp.

initialLogForwards_

std::vector<Rate> initialLogForwards_

private

Definition at line 72 of file lognormalfwdrateeuler.hpp.

drifts1_

std::vector<Real> drifts1_

private

Definition at line 73 of file lognormalfwdrateeuler.hpp.

initialDrifts_

std::vector<Real> initialDrifts_

private

Definition at line 73 of file lognormalfwdrateeuler.hpp.

brownians_

std::vector<Real> brownians_

private

Definition at line 74 of file lognormalfwdrateeuler.hpp.

correlatedBrownians_

std::vector<Real> correlatedBrownians_

private

Definition at line 74 of file lognormalfwdrateeuler.hpp.

alive_

std::vector<Size> alive_

private

Definition at line 75 of file lognormalfwdrateeuler.hpp.

calculators_

std::vector<LMMDriftCalculator> calculators_

private

Definition at line 77 of file lognormalfwdrateeuler.hpp.