QuantLib_LogNormalFwdRateEulerConstrained (3) - Linux Manuals

QuantLib_LogNormalFwdRateEulerConstrained: euler stepping

NAME

QuantLib::LogNormalFwdRateEulerConstrained - euler stepping

SYNOPSIS

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

Inherits QuantLib::ConstrainedEvolver.

Public Member Functions

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

MarketModelConstrained interface

virtual void setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &endIndexOfSwapRate)
call once
virtual void setThisConstraint (const std::vector< Rate > &rateConstraints, const std::vector< bool > &isConstraintActive)
call before each path

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

euler stepping

Author

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