EvolutionDescription Class Reference

Market-model evolution description. More...

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

List of all members.

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