EvolutionDescription Class Reference
#include <ql/models/marketmodels/evolutiondescription.hpp>
Detailed Description
Market-model evolution description.This class stores:
- evolutionTimes = the times defining the rates that are to be evolved,
- rateTimes = the times at which the rates need to be known,
- 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
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 |