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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_market_model.html">MarketModel</a></div>
<h1>MarketModel Class Reference</h1><!-- doxytag: class="QuantLib::MarketModel" --><code>#include <ql/models/marketmodels/marketmodel.hpp></code>
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Inheritance diagram for MarketModel:</div>
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<a href="class_quant_lib_1_1_market_model-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
base class for market models
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For each time step, generates the pseudo-square root of the covariance matrix for that time step. <table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dc217a0c2cb706bc4f845d44424e1b06"></a><!-- doxytag: member="QuantLib::MarketModel::initialRates" ref="dc217a0c2cb706bc4f845d44424e1b06" args="() const =0" -->
virtual const std::vector< <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> > & </td><td class="memItemRight" valign="bottom"><b>initialRates</b> () const =0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="77c3a5ee494fde88b9eca13f27fd28eb"></a><!-- doxytag: member="QuantLib::MarketModel::displacements" ref="77c3a5ee494fde88b9eca13f27fd28eb" args="() const =0" -->
virtual const std::vector<br>
< <a class="el" href="group__types.html#ge7427f4743503002b0c6eeeefae91a3d">Spread</a> > & </td><td class="memItemRight" valign="bottom"><b>displacements</b> () const =0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="68dfe7446a0e67a069cc65607e33fba7"></a><!-- doxytag: member="QuantLib::MarketModel::evolution" ref="68dfe7446a0e67a069cc65607e33fba7" args="() const =0" -->
virtual const <br>
<a class="el" href="class_quant_lib_1_1_evolution_description.html">EvolutionDescription</a> & </td><td class="memItemRight" valign="bottom"><b>evolution</b> () const =0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e0b5ee9b6e485b66f6cb44a08904136d"></a><!-- doxytag: member="QuantLib::MarketModel::numberOfRates" ref="e0b5ee9b6e485b66f6cb44a08904136d" args="() const =0" -->
virtual <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>numberOfRates</b> () const =0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="23e12972a841e8410cafc8a15056196e"></a><!-- doxytag: member="QuantLib::MarketModel::numberOfFactors" ref="23e12972a841e8410cafc8a15056196e" args="() const =0" -->
virtual <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>numberOfFactors</b> () const =0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="be6f647dd9a9c3dc968ac76116801348"></a><!-- doxytag: member="QuantLib::MarketModel::numberOfSteps" ref="be6f647dd9a9c3dc968ac76116801348" args="() const =0" -->
virtual <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>numberOfSteps</b> () const =0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6fba75f39ffbed5d1523150428b94d2b"></a><!-- doxytag: member="QuantLib::MarketModel::pseudoRoot" ref="6fba75f39ffbed5d1523150428b94d2b" args="(Size i) const =0" -->
virtual const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> & </td><td class="memItemRight" valign="bottom"><b>pseudoRoot</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const =0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2534d6cfef652a9c7eff1da6a0b2a0c9"></a><!-- doxytag: member="QuantLib::MarketModel::covariance" ref="2534d6cfef652a9c7eff1da6a0b2a0c9" args="(Size i) const " -->
virtual const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> & </td><td class="memItemRight" valign="bottom"><b>covariance</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f790cfbb62e4ea9f90c6406b6943f8f0"></a><!-- doxytag: member="QuantLib::MarketModel::totalCovariance" ref="f790cfbb62e4ea9f90c6406b6943f8f0" args="(Size endIndex) const " -->
virtual const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> & </td><td class="memItemRight" valign="bottom"><b>totalCovariance</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> endIndex) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="18b43aae2cea6a49ffe4ea29494cc2a8"></a><!-- doxytag: member="QuantLib::MarketModel::timeDependentVolatility" ref="18b43aae2cea6a49ffe4ea29494cc2a8" args="(Size i) const " -->
std::vector< <a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> > </td><td class="memItemRight" valign="bottom"><b>timeDependentVolatility</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
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