QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | List of all members
LogNormalFwdRateEulerConstrained Class Reference

euler stepping More...

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

+ Inheritance diagram for LogNormalFwdRateEulerConstrained:

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::valarray< bool > &isConstraintActive)
 call before each path
 
MarketModel interface
const std::vector< Size > & numeraires () const
 
Real startNewPath ()
 
Real advanceStep ()
 
Size currentStep () const
 
const CurveStatecurrentState () const
 
void setInitialState (const CurveState &)
 

Detailed Description

euler stepping