QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <ql/models/marketmodels/evolutiondescription.hpp>
#include <ql/models/marketmodels/utilities.hpp>
#include <ql/math/matrix.hpp>
#include <ql/utilities/dataformatters.hpp>
Go to the source code of this file.
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) |