MarketModel Class Reference

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

Inheritance diagram for MarketModel:

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List of all members.

Detailed Description

base class for market models

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


Public Member Functions

virtual const std::vector<
Rate > & 
initialRates () const=0
virtual const std::vector<
Spread > & 
displacements () const=0
virtual const EvolutionDescriptionevolution () const=0
virtual Size numberOfRates () const=0
virtual Size numberOfFactors () const=0
virtual Size numberOfSteps () const=0
virtual const MatrixpseudoRoot (Size i) const=0
virtual const Matrixcovariance (Size i) const
virtual const MatrixtotalCovariance (Size endIndex) const