QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fwdperiodadapter.hpp>
Public Member Functions | |
FwdPeriodAdapter (const ext::shared_ptr< MarketModel > &largeModel, Size period, Size offset, std::vector< Spread > newDisplacements_) | |
Public Member Functions inherited from MarketModel | |
virtual | ~MarketModel ()=default |
virtual const std::vector< Rate > & | initialRates () const =0 |
virtual const std::vector< Spread > & | displacements () const =0 |
virtual const EvolutionDescription & | evolution () const =0 |
virtual Size | numberOfRates () const =0 |
virtual Size | numberOfFactors () const =0 |
virtual Size | numberOfSteps () const =0 |
virtual const Matrix & | pseudoRoot (Size i) const =0 |
virtual const Matrix & | covariance (Size i) const |
virtual const Matrix & | totalCovariance (Size endIndex) const |
std::vector< Volatility > | timeDependentVolatility (Size i) const |
MarketModel interface | |
EvolutionDescription | evolution_ |
Size | numberOfFactors_ |
Size | numberOfRates_ |
Size | numberOfSteps_ |
std::vector< Rate > | initialRates_ |
std::vector< Matrix > | pseudoRoots_ |
std::vector< Spread > | displacements_ |
const std::vector< Rate > & | initialRates () const override |
const std::vector< Spread > & | displacements () const override |
const EvolutionDescription & | evolution () const override |
Size | numberOfRates () const override |
Size | numberOfFactors () const override |
Size | numberOfSteps () const override |
const Matrix & | pseudoRoot (Size i) const override |
Definition at line 31 of file fwdperiodadapter.hpp.
FwdPeriodAdapter | ( | const ext::shared_ptr< MarketModel > & | largeModel, |
Size | period, | ||
Size | offset, | ||
std::vector< Spread > | newDisplacements_ | ||
) |
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overridevirtual |
Implements MarketModel.
Definition at line 61 of file fwdperiodadapter.hpp.
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overridevirtual |
Implements MarketModel.
Definition at line 66 of file fwdperiodadapter.hpp.
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overridevirtual |
Implements MarketModel.
Definition at line 71 of file fwdperiodadapter.hpp.
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overridevirtual |
Implements MarketModel.
Definition at line 75 of file fwdperiodadapter.hpp.
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overridevirtual |
Implements MarketModel.
Definition at line 79 of file fwdperiodadapter.hpp.
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overridevirtual |
Implements MarketModel.
Definition at line 83 of file fwdperiodadapter.hpp.
Implements MarketModel.
Definition at line 87 of file fwdperiodadapter.hpp.
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private |
Definition at line 48 of file fwdperiodadapter.hpp.
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private |
Definition at line 49 of file fwdperiodadapter.hpp.
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private |
Definition at line 49 of file fwdperiodadapter.hpp.
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private |
Definition at line 49 of file fwdperiodadapter.hpp.
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private |
Definition at line 50 of file fwdperiodadapter.hpp.
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private |
Definition at line 51 of file fwdperiodadapter.hpp.
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private |
Definition at line 52 of file fwdperiodadapter.hpp.