QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Namespaces | Functions
evolutiondescription.cpp File Reference
#include <ql/models/marketmodels/evolutiondescription.hpp>
#include <ql/models/marketmodels/utilities.hpp>
#include <ql/math/matrix.hpp>
#include <ql/utilities/dataformatters.hpp>

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Namespaces

namespace  QuantLib
 

Functions

void checkCompatibility (const EvolutionDescription &evolution, const std::vector< Size > &numeraires)
 
bool isInTerminalMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires)
 
bool isInMoneyMarketPlusMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires, Size offset)
 
bool isInMoneyMarketMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires)
 
std::vector< Size > terminalMeasure (const EvolutionDescription &evolution)
 Terminal measure: the last bond is used as numeraire. More...
 
std::vector< Size > moneyMarketPlusMeasure (const EvolutionDescription &ev, Size offset)
 
std::vector< Size > moneyMarketMeasure (const EvolutionDescription &evol)