Market-model evolution description. More...

#include <evolutiondescription.hpp>

Collaboration diagram for EvolutionDescription:

Public Member Functions
	EvolutionDescription ()=default

	EvolutionDescription (const std::vector< Time > &rateTimes, const std::vector< Time > &evolutionTimes=std::vector< Time >(), const std::vector< std::pair< Size, Size > > &relevanceRates=std::vector< range >())

const std::vector< Time > &	rateTimes () const

const std::vector< Time > &	rateTaus () const

const std::vector< Time > &	evolutionTimes () const

const std::vector< Size > &	firstAliveRate () const

const std::vector< std::pair< Size, Size > > &	relevanceRates () const

Size	numberOfRates () const

Size	numberOfSteps () const

Private Types
typedef std::pair< Size, Size >	range

Private Attributes
Size	numberOfRates_

std::vector< Time >	rateTimes_

std::vector< Time >	evolutionTimes_

std::vector< std::pair< Size, Size > >	relevanceRates_

std::vector< Time >	rateTaus_

std::vector< Size >	firstAliveRate_

Detailed Description

Market-model evolution description.

This class stores:

evolutionTimes = the times at which the rates need to be known,
rateTimes = the times defining the rates that are to be evolved,
relevanceRates = which rates need to be known at each time.

This class is really just a tuple of evolution and rate times;

there will be n+1 rate times expressing payment and reset times of forward rates.
there will be any number of evolution times.
we also store which part of the rates are relevant for pricing via relevance rates. The important part for the i-th step will then range from relevanceRates[i].first to relevanceRates[i].second. Default values for relevance rates will be 0 and n.

example for n = 5:

   |-----|-----|-----|-----|-----|      (size = 6)
   t0    t1    t2    t3    t4    t5     rateTimes
   f0    f1    f2    f3    f4           forwardRates
   d0    d1    d2    d3    d4    d5     discountBonds
   d0/d0 d1/d0 d2/d0 d3/d0 d4/d0 d5/d0  discountRatios
   sr0   sr1   sr2   sr3   sr4          coterminalSwaps

Examples: MarketModels.cpp.

Definition at line 54 of file evolutiondescription.hpp.

Member Typedef Documentation

◆ range

typedef std::pair<Size,Size> range

private

Definition at line 58 of file evolutiondescription.hpp.

Constructor & Destructor Documentation

◆ EvolutionDescription() [1/2]

EvolutionDescription ( )

default

◆ EvolutionDescription() [2/2]

EvolutionDescription	(	const std::vector< Time > &	rateTimes,
		const std::vector< Time > &	evolutionTimes = `std::vector<Time>()`,
		const std::vector< std::pair< Size, Size > > &	relevanceRates = `std::vector<range>()`
	)

explicit

Definition at line 31 of file evolutiondescription.cpp.

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