LogNormalFwdRateEulerConstrained Class Reference
#include <ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.hpp>
Inheritance diagram for LogNormalFwdRateEulerConstrained:

Detailed Description
euler stepping
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::vector< bool > &isConstraintActive) |
call before each path | |
MarketModel interface | |
const std::vector< Size > & | numeraires () const |
Real | startNewPath () |
Real | advanceStep () |
Size | currentStep () const |
const CurveState & | currentState () const |
void | setInitialState (const CurveState &) |