setThisConstraint (3) - Linux Manuals

setThisConstraint: Constrained market-model evolver.

NAME

QuantLib::ConstrainedEvolver - Constrained market-model evolver.

SYNOPSIS

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

Inherits QuantLib::MarketModelEvolver.

Inherited by LogNormalFwdRateEulerConstrained.

Public Member Functions

virtual void setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &EndIndexOfSwapRate)=0
call once
virtual void setThisConstraint (const std::vector< Rate > &rateConstraints, const std::vector< bool > &isConstraintActive)=0
call before each path

Detailed Description

Constrained market-model evolver.

Abstract base class. Requires extra methods above that of marketmodelevolver to let you fix rates via importance sampling.

The evolver does the actual gritty work of evolving the forward rates from one time to the next.

This is intended to be used for the Fries-Joshi proxy simulation approach to Greeks

Author

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