20#ifndef quantlib_svdd_forward_rate_pc_evolver_hpp
21#define quantlib_svdd_forward_rate_pc_evolver_hpp
31 class BrownianGenerator;
32 class BrownianGeneratorFactory;
33 class MarketModelVolProcess;
46 const ext::shared_ptr<MarketModelVolProcess>& volProcess,
47 Size firstVolatilityFactor,
48 Size volatilityFactorStep,
50 Size initialStep = 0);
53 const std::vector<Size>&
numeraires()
const override;
61 void setForwards(
const std::vector<Real>& forwards);
Curve state for market-model simulations
Curve state for Libor market models
std::vector< Real > drifts1_
std::vector< Real > allBrownians_
std::vector< Rate > displacements_
std::vector< Real > volBrownians_
Real advanceStep() override
Real startNewPath() override
std::vector< Rate > forwards_
const CurveState & currentState() const override
void setForwards(const std::vector< Real > &forwards)
std::vector< Real > brownians_
std::valarray< bool > isVolVariate_
std::vector< Rate > logForwards_
Size currentStep() const override
std::vector< std::vector< Real > > fixedDrifts_
std::vector< Real > drifts2_
std::vector< Size > alive_
Size firstVolatilityFactor_
std::vector< Rate > initialLogForwards_
ext::shared_ptr< MarketModel > marketModel_
std::vector< Real > initialDrifts_
std::vector< Size > numeraires_
std::vector< Real > correlatedBrownians_
ext::shared_ptr< MarketModelVolProcess > volProcess_
const std::vector< Size > & numeraires() const override
std::vector< LMMDriftCalculator > calculators_
ext::shared_ptr< BrownianGenerator > generator_
LMMCurveState curveState_
void setInitialState(const CurveState &) override
std::size_t Size
size of a container
Drift computation for Libor market model.