LogNormalFwdRateEulerConstrained Class Reference

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

Inheritance diagram for LogNormalFwdRateEulerConstrained:

Inheritance graph
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List of all members.

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 CurveStatecurrentState () const
void setInitialState (const CurveState &)