QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | List of all members
FwdPeriodAdapter Class Reference

#include <fwdperiodadapter.hpp>

+ Inheritance diagram for FwdPeriodAdapter:
+ Collaboration diagram for FwdPeriodAdapter:

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 EvolutionDescriptionevolution () const =0
 
virtual Size numberOfRates () const =0
 
virtual Size numberOfFactors () const =0
 
virtual Size numberOfSteps () const =0
 
virtual const MatrixpseudoRoot (Size i) const =0
 
virtual const Matrixcovariance (Size i) const
 
virtual const MatrixtotalCovariance (Size endIndex) const
 
std::vector< VolatilitytimeDependentVolatility (Size i) const
 

MarketModel interface

EvolutionDescription evolution_
 
Size numberOfFactors_
 
Size numberOfRates_
 
Size numberOfSteps_
 
std::vector< RateinitialRates_
 
std::vector< MatrixpseudoRoots_
 
std::vector< Spreaddisplacements_
 
const std::vector< Rate > & initialRates () const override
 
const std::vector< Spread > & displacements () const override
 
const EvolutionDescriptionevolution () const override
 
Size numberOfRates () const override
 
Size numberOfFactors () const override
 
Size numberOfSteps () const override
 
const MatrixpseudoRoot (Size i) const override
 

Detailed Description

Definition at line 31 of file fwdperiodadapter.hpp.

Constructor & Destructor Documentation

◆ FwdPeriodAdapter()

FwdPeriodAdapter ( const ext::shared_ptr< MarketModel > &  largeModel,
Size  period,
Size  offset,
std::vector< Spread newDisplacements_ 
)

Definition at line 32 of file fwdperiodadapter.cpp.

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Member Function Documentation

◆ initialRates()

const std::vector< Rate > & initialRates ( ) const
overridevirtual

Implements MarketModel.

Definition at line 61 of file fwdperiodadapter.hpp.

◆ displacements()

const std::vector< Spread > & displacements ( ) const
overridevirtual

Implements MarketModel.

Definition at line 66 of file fwdperiodadapter.hpp.

◆ evolution()

const EvolutionDescription & evolution ( ) const
overridevirtual

Implements MarketModel.

Definition at line 71 of file fwdperiodadapter.hpp.

◆ numberOfRates()

Size numberOfRates ( ) const
overridevirtual

Implements MarketModel.

Definition at line 75 of file fwdperiodadapter.hpp.

◆ numberOfFactors()

Size numberOfFactors ( ) const
overridevirtual

Implements MarketModel.

Definition at line 79 of file fwdperiodadapter.hpp.

◆ numberOfSteps()

Size numberOfSteps ( ) const
overridevirtual

Implements MarketModel.

Definition at line 83 of file fwdperiodadapter.hpp.

◆ pseudoRoot()

const Matrix & pseudoRoot ( Size  i) const
overridevirtual

Implements MarketModel.

Definition at line 87 of file fwdperiodadapter.hpp.

Member Data Documentation

◆ evolution_

EvolutionDescription evolution_
private

Definition at line 48 of file fwdperiodadapter.hpp.

◆ numberOfFactors_

Size numberOfFactors_
private

Definition at line 49 of file fwdperiodadapter.hpp.

◆ numberOfRates_

Size numberOfRates_
private

Definition at line 49 of file fwdperiodadapter.hpp.

◆ numberOfSteps_

Size numberOfSteps_
private

Definition at line 49 of file fwdperiodadapter.hpp.

◆ initialRates_

std::vector<Rate> initialRates_
private

Definition at line 50 of file fwdperiodadapter.hpp.

◆ pseudoRoots_

std::vector<Matrix> pseudoRoots_
private

Definition at line 51 of file fwdperiodadapter.hpp.

◆ displacements_

std::vector<Spread> displacements_
private

Definition at line 52 of file fwdperiodadapter.hpp.