LogNormalFwdRateIpc (3) - Linux Manuals

LogNormalFwdRateIpc: Iterative Predictor-Corrector.

NAME

QuantLib::LogNormalFwdRateIpc - Iterative Predictor-Corrector.

SYNOPSIS

#include <ql/models/marketmodels/evolvers/lognormalfwdrateipc.hpp>

Inherits QuantLib::MarketModelEvolver.

Public Member Functions

LogNormalFwdRateIpc (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0)

MarketModel interface

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

Real startNewPath ()

Real advanceStep ()

Size currentStep () const

const CurveState & currentState () const

void setInitialState (const CurveState &)

Detailed Description

Iterative Predictor-Corrector.

Author

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