displacements (3) - Linux Manuals

displacements: base class for market models

Command to display displacements manual in Linux: $ man 3 displacements

NAME

QuantLib::MarketModel - base class for market models

SYNOPSIS

#include <ql/models/marketmodels/marketmodel.hpp>

Inherited by AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.

Public Member Functions

virtual const std::vector< Rate > & initialRates () const =0

virtual const std::vector< Spread > & displacements () const =0

virtual const EvolutionDescription & evolution () const =0

virtual Size numberOfRates () const =0

virtual Size numberOfFactors () const =0

virtual Size numberOfSteps () const =0

virtual const Matrix & pseudoRoot (Size i) const =0

virtual const Matrix & covariance (Size i) const

virtual const Matrix & totalCovariance (Size endIndex) const

std::vector< Volatility > timeDependentVolatility (Size i) const

Detailed Description

base class for market models

For each time step, generates the pseudo-square root of the covariance matrix for that time step.

Author

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