LogNormalCmSwapRatePc Class Reference

Predictor-Corrector. More...

#include <ql/models/marketmodels/evolvers/lognormalcmswapratepc.hpp>

Inheritance diagram for LogNormalCmSwapRatePc:

Collaboration diagram for LogNormalCmSwapRatePc:

Public Member Functions
	LogNormalCmSwapRatePc (Size spanningForwards, 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
Size	spanningForwards_
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_
CMSwapCurveState	curveState_
Size	currentStep_
std::vector< Rate >	swapRates_
std::vector< Rate >	displacements_
std::vector< Rate >	logSwapRates_
std::vector< Rate >	initialLogSwapRates_
std::vector< Real >	drifts1_
std::vector< Real >	drifts2_
std::vector< Real >	initialDrifts_
std::vector< Real >	brownians_
std::vector< Real >	correlatedBrownians_
std::vector< Size >	alive_
std::vector< CMSMMDriftCalculator >	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
void	setCMSwapRates (const std::vector< Real > &swapRates)

Detailed Description

Predictor-Corrector.

Definition at line 36 of file lognormalcmswapratepc.hpp.

Constructor & Destructor Documentation

LogNormalCmSwapRatePc()

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

Definition at line 29 of file lognormalcmswapratepc.cpp.

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Member Function Documentation

numeraires()

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

overridevirtual

Implements MarketModelEvolver.

Definition at line 77 of file lognormalcmswapratepc.cpp.

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startNewPath()

Real startNewPath ( )

overridevirtual

Implements MarketModelEvolver.

Definition at line 98 of file lognormalcmswapratepc.cpp.

advanceStep()

Real advanceStep ( )

overridevirtual

Implements MarketModelEvolver.

Definition at line 105 of file lognormalcmswapratepc.cpp.

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currentStep()

Size currentStep ( ) const

overridevirtual

Implements MarketModelEvolver.

Definition at line 151 of file lognormalcmswapratepc.cpp.

currentState()

const CurveState & currentState ( ) const

overridevirtual

Implements MarketModelEvolver.

Definition at line 155 of file lognormalcmswapratepc.cpp.

setInitialState()

void setInitialState ( const CurveState &  cs )

overridevirtual

Implements MarketModelEvolver.

Definition at line 92 of file lognormalcmswapratepc.cpp.

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setCMSwapRates()

void setCMSwapRates ( const std::vector< Real > &  swapRates )

private

Definition at line 81 of file lognormalcmswapratepc.cpp.

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Member Data Documentation

spanningForwards_

Size spanningForwards_

private

Definition at line 55 of file lognormalcmswapratepc.hpp.

marketModel_

ext::shared_ptr<MarketModel> marketModel_

private

Definition at line 56 of file lognormalcmswapratepc.hpp.

numeraires_

std::vector<Size> numeraires_

private

Definition at line 57 of file lognormalcmswapratepc.hpp.

initialStep_

Size initialStep_

private

Definition at line 58 of file lognormalcmswapratepc.hpp.

generator_

ext::shared_ptr<BrownianGenerator> generator_

private

Definition at line 59 of file lognormalcmswapratepc.hpp.

fixedDrifts_

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

private

Definition at line 61 of file lognormalcmswapratepc.hpp.

numberOfRates_

Size numberOfRates_

private

Definition at line 63 of file lognormalcmswapratepc.hpp.

numberOfFactors_

Size numberOfFactors_

private

Definition at line 63 of file lognormalcmswapratepc.hpp.

curveState_

CMSwapCurveState curveState_

private

Definition at line 64 of file lognormalcmswapratepc.hpp.

currentStep_

Size currentStep_

private

Definition at line 65 of file lognormalcmswapratepc.hpp.

swapRates_

std::vector<Rate> swapRates_

private

Definition at line 66 of file lognormalcmswapratepc.hpp.

displacements_

std::vector<Rate> displacements_

private

Definition at line 66 of file lognormalcmswapratepc.hpp.

logSwapRates_

std::vector<Rate> logSwapRates_

private

Definition at line 66 of file lognormalcmswapratepc.hpp.

initialLogSwapRates_

std::vector<Rate> initialLogSwapRates_

private

Definition at line 66 of file lognormalcmswapratepc.hpp.

drifts1_

std::vector<Real> drifts1_

private

Definition at line 67 of file lognormalcmswapratepc.hpp.

drifts2_

std::vector<Real> drifts2_

private

Definition at line 67 of file lognormalcmswapratepc.hpp.

initialDrifts_

std::vector<Real> initialDrifts_

private

Definition at line 67 of file lognormalcmswapratepc.hpp.

brownians_

std::vector<Real> brownians_

private

Definition at line 68 of file lognormalcmswapratepc.hpp.

correlatedBrownians_

std::vector<Real> correlatedBrownians_

private

Definition at line 68 of file lognormalcmswapratepc.hpp.

alive_

std::vector<Size> alive_

private

Definition at line 69 of file lognormalcmswapratepc.hpp.

calculators_

std::vector<CMSMMDriftCalculator> calculators_

private

Definition at line 71 of file lognormalcmswapratepc.hpp.