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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_evolution_description.html">EvolutionDescription</a> </li>
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<a href="#pub-methods">Public Member Functions</a> </div>
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<div class="title">EvolutionDescription Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::EvolutionDescription" -->
<p>Market-model evolution description.
<a href="class_quant_lib_1_1_evolution_description.html#details">More...</a></p>
<p><code>#include <ql/models/marketmodels/evolutiondescription.hpp></code></p>
<p><a href="class_quant_lib_1_1_evolution_description-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aecf292561e16fe6df3c652f7b07ee82c"></a><!-- doxytag: member="QuantLib::EvolutionDescription::EvolutionDescription" ref="aecf292561e16fe6df3c652f7b07ee82c" args="(const std::vector< Time > &rateTimes, const std::vector< Time > &evolutionTimes=std::vector< Time >(), const std::vector< std::pair< Size, Size > > &relevanceRates=std::vector< range >())" -->
 </td><td class="memItemRight" valign="bottom"><b>EvolutionDescription</b> (const std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > &rateTimes, const std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > &evolutionTimes=std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> >(), const std::vector< std::pair< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a>, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> > > &relevanceRates=std::vector< range >())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab2d70b43df80ed4117064171d7a09cc3"></a><!-- doxytag: member="QuantLib::EvolutionDescription::rateTimes" ref="ab2d70b43df80ed4117064171d7a09cc3" args="() const " -->
const std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > & </td><td class="memItemRight" valign="bottom"><b>rateTimes</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a354ca1793c355a773e185886211db03a"></a><!-- doxytag: member="QuantLib::EvolutionDescription::rateTaus" ref="a354ca1793c355a773e185886211db03a" args="() const " -->
const std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > & </td><td class="memItemRight" valign="bottom"><b>rateTaus</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0dac97b4b0bffee5390d8e79f635963a"></a><!-- doxytag: member="QuantLib::EvolutionDescription::evolutionTimes" ref="a0dac97b4b0bffee5390d8e79f635963a" args="() const " -->
const std::vector< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > & </td><td class="memItemRight" valign="bottom"><b>evolutionTimes</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abca2bff1bd358cec29095d1073726857"></a><!-- doxytag: member="QuantLib::EvolutionDescription::firstAliveRate" ref="abca2bff1bd358cec29095d1073726857" args="() const " -->
const std::vector< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> > & </td><td class="memItemRight" valign="bottom"><b>firstAliveRate</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0fb9d12ce3c6ee872a153fe766ea9489"></a><!-- doxytag: member="QuantLib::EvolutionDescription::relevanceRates" ref="a0fb9d12ce3c6ee872a153fe766ea9489" args="() const " -->
const std::vector< std::pair<br class="typebreak"/>
< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a>, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> > > & </td><td class="memItemRight" valign="bottom"><b>relevanceRates</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab4f4847a3bfe9c8a8ea499a4e20643cf"></a><!-- doxytag: member="QuantLib::EvolutionDescription::numberOfRates" ref="ab4f4847a3bfe9c8a8ea499a4e20643cf" args="() const " -->
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>numberOfRates</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aed640b8d340edab41683b6aadd89665b"></a><!-- doxytag: member="QuantLib::EvolutionDescription::numberOfSteps" ref="aed640b8d340edab41683b6aadd89665b" args="() const " -->
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>numberOfSteps</b> () const </td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Market-model evolution description. </p>
<p>This class stores:</p>
<ol type="1">
<li>evolutionTimes = the times defining the rates that are to be evolved,</li>
<li>rateTimes = the times at which the rates need to be known,</li>
<li>relevanceRates = which rates need to be known at each time.</li>
</ol>
<p>This class is really just a tuple of evolution and rate times;</p>
<ul>
<li>there will be n+1 rate times expressing payment and reset times of forward rates.</li>
<li>there will be any number of evolution times.</li>
<li>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.</li>
<li>example for n = 5: <pre>
|-----|-----|-----|-----|-----| (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
</pre> </li>
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