36 ") must be less than covariance_.size() (" <<
covariance_.size() <<
")");
50 "endIndex (" << endIndex <<
51 ") must be less than covariance_.size() (" <<
covariance_.size() <<
")");
58 "index (" << i <<
") must less than number of rates (" <<
66 Time tau = evolutionTime[j]-lastTime;
68 Real thisVol = std::sqrt(thisVariance/tau);
70 lastTime = evolutionTime[j];
const std::vector< Time > & evolutionTimes() const
std::vector< Volatility > timeDependentVolatility(Size i) const
virtual const Matrix & covariance(Size i) const
std::vector< Matrix > totalCovariance_
virtual const Matrix & totalCovariance(Size endIndex) const
std::vector< Matrix > covariance_
virtual const Matrix & pseudoRoot(Size i) const =0
virtual Size numberOfSteps() const =0
virtual const EvolutionDescription & evolution() const =0
virtual Size numberOfRates() const =0
Matrix used in linear algebra.
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container
Matrix transpose(const Matrix &m)