relevanceRates (3) - Linux Manuals

relevanceRates: Market-model evolution description.

NAME

QuantLib::EvolutionDescription - Market-model evolution description.

SYNOPSIS

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

Public Member Functions

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

Detailed Description

Market-model evolution description.

This class stores:

1.

evolutionTimes = the times defining the rates that are to be evolved,

2.

rateTimes = the times at which the rates need to be known,

3.

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
        

Author

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