ConstrainedEvolver Class Reference
#include <ql/models/marketmodels/constrainedevolver.hpp>
Inheritance diagram for ConstrainedEvolver:

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
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 |