Constrained market-model evolver. More...
#include <ql/models/marketmodels/constrainedevolver.hpp>
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()
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overridedefault |
Member Function Documentation
◆ setConstraintType()
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pure virtual |
call once
Implemented in LogNormalFwdRateEulerConstrained.
◆ setThisConstraint()
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pure virtual |
call before each path
Implemented in LogNormalFwdRateEulerConstrained.