Constrained market-model evolver. More...

Inheritance diagram for ConstrainedEvolver:

Collaboration diagram for ConstrainedEvolver:

Public Member Functions
	~ConstrainedEvolver () override=default

virtual void	setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &EndIndexOfSwapRate)=0
	call once More...

virtual void	setThisConstraint (const std::vector< Rate > &rateConstraints, const std::valarray< bool > &isConstraintActive)=0
	call before each path More...

Public Member Functions inherited from MarketModelEvolver
virtual	~MarketModelEvolver ()=default

virtual const std::vector< Size > &	numeraires () const =0

virtual Real	startNewPath ()=0

virtual Real	advanceStep ()=0

virtual Size	currentStep () const =0

virtual const CurveState &	currentState () const =0

virtual void	setInitialState (const CurveState &)=0

Detailed Description

Constrained market-model evolver.

Abstract base class. Requires extra methods above that of marketmodelevolver to let you fix rates via importance sampling.

The evolver does the actual gritty work of evolving the forward rates from one time to the next.

This is intended to be used for the Fries-Joshi proxy simulation approach to Greeks

Definition at line 39 of file constrainedevolver.hpp.

Constructor & Destructor Documentation

~ConstrainedEvolver ( )

overridedefault

virtual void setConstraintType	(	const std::vector< Size > &	startIndexOfSwapRate,
		const std::vector< Size > &	EndIndexOfSwapRate
	)

pure virtual

call once

virtual void setThisConstraint	(	const std::vector< Rate > &	rateConstraints,
		const std::valarray< bool > &	isConstraintActive
	)

pure virtual

call before each path