QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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evolver.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006 Mark Joshi
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20
21#ifndef quantlib_market_model_evolver_hpp
22#define quantlib_market_model_evolver_hpp
23
24#include <ql/types.hpp>
25#include <vector>
26
27namespace QuantLib {
28
29 class CurveState;
30
31 //! Market-model evolver
32 /*! Abstract base class. The evolver does the actual gritty work of
33 evolving the forward rates from one time to the next.
34 */
36 public:
37 virtual ~MarketModelEvolver() = default;
38
39 virtual const std::vector<Size>& numeraires() const = 0;
40 virtual Real startNewPath() = 0;
41 virtual Real advanceStep() = 0;
42 virtual Size currentStep() const = 0;
43 virtual const CurveState& currentState() const = 0;
44 virtual void setInitialState(const CurveState&) = 0;
45 };
46
47}
48
49#endif
Curve state for market-model simulations
Definition: curvestate.hpp:41
Market-model evolver.
Definition: evolver.hpp:35
virtual const std::vector< Size > & numeraires() const =0
virtual Real advanceStep()=0
virtual const CurveState & currentState() const =0
virtual Size currentStep() const =0
virtual Real startNewPath()=0
virtual void setInitialState(const CurveState &)=0
virtual ~MarketModelEvolver()=default
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
Custom types.