QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
models
marketmodels
evolver.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2006 Mark Joshi
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_market_model_evolver_hpp
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#define quantlib_market_model_evolver_hpp
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#include <
ql/types.hpp
>
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#include <vector>
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namespace
QuantLib
{
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class
CurveState;
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//! Market-model evolver
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/*! Abstract base class. The evolver does the actual gritty work of
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evolving the forward rates from one time to the next.
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*/
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class
MarketModelEvolver
{
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public
:
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virtual
~MarketModelEvolver
() =
default
;
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virtual
const
std::vector<Size>&
numeraires
()
const
= 0;
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virtual
Real
startNewPath
() = 0;
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virtual
Real
advanceStep
() = 0;
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virtual
Size
currentStep
()
const
= 0;
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virtual
const
CurveState
&
currentState
()
const
= 0;
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virtual
void
setInitialState
(
const
CurveState
&) = 0;
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};
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}
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#endif
QuantLib::CurveState
Curve state for market-model simulations
Definition:
curvestate.hpp:41
QuantLib::MarketModelEvolver
Market-model evolver.
Definition:
evolver.hpp:35
QuantLib::MarketModelEvolver::numeraires
virtual const std::vector< Size > & numeraires() const =0
QuantLib::MarketModelEvolver::advanceStep
virtual Real advanceStep()=0
QuantLib::MarketModelEvolver::currentState
virtual const CurveState & currentState() const =0
QuantLib::MarketModelEvolver::currentStep
virtual Size currentStep() const =0
QuantLib::MarketModelEvolver::startNewPath
virtual Real startNewPath()=0
QuantLib::MarketModelEvolver::setInitialState
virtual void setInitialState(const CurveState &)=0
QuantLib::MarketModelEvolver::~MarketModelEvolver
virtual ~MarketModelEvolver()=default
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
types.hpp
Custom types.
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