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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<!-- doxytag: class="QuantLib::ConstrainedEvolver" --><!-- doxytag: inherits="QuantLib::MarketModelEvolver" -->
<p>Constrained market-model evolver.
<a href="class_quant_lib_1_1_constrained_evolver.html#details">More...</a></p>
<p><code>#include <ql/models/marketmodels/constrainedevolver.hpp></code></p>
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Inheritance diagram for ConstrainedEvolver:</div>
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<area shape="rect" id="node5" href="class_quant_lib_1_1_log_normal_fwd_rate_euler_constrained.html" title="euler stepping" alt="" coords="5,166,237,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_market_model_evolver.html" title="Market-model evolver." alt="" coords="52,6,191,37"/></map>
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Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a72f1f210b87697658d04a4580e8d451c"></a><!-- doxytag: member="QuantLib::ConstrainedEvolver::setConstraintType" ref="a72f1f210b87697658d04a4580e8d451c" args="(const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &EndIndexOfSwapRate)=0" -->
virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_constrained_evolver.html#a72f1f210b87697658d04a4580e8d451c">setConstraintType</a> (const std::vector< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> > &startIndexOfSwapRate, const std::vector< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> > &EndIndexOfSwapRate)=0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">call once <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a39d0015d10b643e28baba86edcd66b0a"></a><!-- doxytag: member="QuantLib::ConstrainedEvolver::setThisConstraint" ref="a39d0015d10b643e28baba86edcd66b0a" args="(const std::vector< Rate > &rateConstraints, const std::valarray< bool > &isConstraintActive)=0" -->
virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_constrained_evolver.html#a39d0015d10b643e28baba86edcd66b0a">setThisConstraint</a> (const std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > &rateConstraints, const std::valarray< bool > &isConstraintActive)=0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">call before each path <br/></td></tr>
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<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Constrained market-model evolver. </p>
<p>Abstract base class. Requires extra methods above that of marketmodelevolver to let you fix rates via importance sampling.</p>
<p>The evolver does the actual gritty work of evolving the forward rates from one time to the next.</p>
<p>This is intended to be used for the Fries-Joshi proxy simulation approach to <a class="el" href="class_quant_lib_1_1_greeks.html" title="additional option results">Greeks</a> </p>
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