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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_constrained_evolver.html">ConstrainedEvolver</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">ConstrainedEvolver Class Reference<span class="mlabels"><span class="mlabel">abstract</span></span></div> </div>
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<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>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for ConstrainedEvolver:</div>
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<area shape="rect" title="Constrained market-model evolver." alt="" coords="57,80,193,107"/>
<area shape="rect" href="class_quant_lib_1_1_log_normal_fwd_rate_euler_constrained.html" title="euler stepping" alt="" coords="5,155,244,181"/>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a72f1f210b87697658d04a4580e8d451c"><td class="memItemLeft" align="right" valign="top"><a id="a72f1f210b87697658d04a4580e8d451c"></a>
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 class="memdesc:a72f1f210b87697658d04a4580e8d451c"><td class="mdescLeft"> </td><td class="mdescRight">call once <br /></td></tr>
<tr class="separator:a72f1f210b87697658d04a4580e8d451c"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a39d0015d10b643e28baba86edcd66b0a"><td class="memItemLeft" align="right" valign="top"><a id="a39d0015d10b643e28baba86edcd66b0a"></a>
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 class="memdesc:a39d0015d10b643e28baba86edcd66b0a"><td class="mdescLeft"> </td><td class="mdescRight">call before each path <br /></td></tr>
<tr class="separator:a39d0015d10b643e28baba86edcd66b0a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_market_model_evolver"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_market_model_evolver')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_market_model_evolver.html">MarketModelEvolver</a></td></tr>
<tr class="memitem:adb4ceea26c9274fc282a70be25a6b619 inherit pub_methods_class_quant_lib_1_1_market_model_evolver"><td class="memItemLeft" align="right" valign="top"><a id="adb4ceea26c9274fc282a70be25a6b619"></a>
virtual const std::vector< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> > & </td><td class="memItemRight" valign="bottom"><b>numeraires</b> () const =0</td></tr>
<tr class="separator:adb4ceea26c9274fc282a70be25a6b619 inherit pub_methods_class_quant_lib_1_1_market_model_evolver"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad1c69e6aa71f890350ca8abcb15b0763 inherit pub_methods_class_quant_lib_1_1_market_model_evolver"><td class="memItemLeft" align="right" valign="top"><a id="ad1c69e6aa71f890350ca8abcb15b0763"></a>
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>startNewPath</b> ()=0</td></tr>
<tr class="separator:ad1c69e6aa71f890350ca8abcb15b0763 inherit pub_methods_class_quant_lib_1_1_market_model_evolver"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6aee9def9c9ccdc14907fb93fb96631c inherit pub_methods_class_quant_lib_1_1_market_model_evolver"><td class="memItemLeft" align="right" valign="top"><a id="a6aee9def9c9ccdc14907fb93fb96631c"></a>
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>advanceStep</b> ()=0</td></tr>
<tr class="separator:a6aee9def9c9ccdc14907fb93fb96631c inherit pub_methods_class_quant_lib_1_1_market_model_evolver"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac01af761e87531c158e375b36520bdcf inherit pub_methods_class_quant_lib_1_1_market_model_evolver"><td class="memItemLeft" align="right" valign="top"><a id="ac01af761e87531c158e375b36520bdcf"></a>
virtual <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>currentStep</b> () const =0</td></tr>
<tr class="separator:ac01af761e87531c158e375b36520bdcf inherit pub_methods_class_quant_lib_1_1_market_model_evolver"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac7e44f09b21966a9dab1e65674346ecd inherit pub_methods_class_quant_lib_1_1_market_model_evolver"><td class="memItemLeft" align="right" valign="top"><a id="ac7e44f09b21966a9dab1e65674346ecd"></a>
virtual const <a class="el" href="class_quant_lib_1_1_curve_state.html">CurveState</a> & </td><td class="memItemRight" valign="bottom"><b>currentState</b> () const =0</td></tr>
<tr class="separator:ac7e44f09b21966a9dab1e65674346ecd inherit pub_methods_class_quant_lib_1_1_market_model_evolver"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad5880f2c1b2a8457b76064ffe83e2590 inherit pub_methods_class_quant_lib_1_1_market_model_evolver"><td class="memItemLeft" align="right" valign="top"><a id="ad5880f2c1b2a8457b76064ffe83e2590"></a>
virtual void </td><td class="memItemRight" valign="bottom"><b>setInitialState</b> (const <a class="el" href="class_quant_lib_1_1_curve_state.html">CurveState</a> &)=0</td></tr>
<tr class="separator:ad5880f2c1b2a8457b76064ffe83e2590 inherit pub_methods_class_quant_lib_1_1_market_model_evolver"><td class="memSeparator" colspan="2"> </td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">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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