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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_evolution_description.html">EvolutionDescription</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">EvolutionDescription Class Reference</div> </div>
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<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>
<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:aecf292561e16fe6df3c652f7b07ee82c"><td class="memItemLeft" align="right" valign="top"><a id="aecf292561e16fe6df3c652f7b07ee82c"></a>
 </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>
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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>
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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>
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<tr class="memitem:a40435d9fcdb3a8856bb5188f77df5ae6"><td class="memItemLeft" align="right" valign="top"><a id="a40435d9fcdb3a8856bb5188f77df5ae6"></a>
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 class="separator:a40435d9fcdb3a8856bb5188f77df5ae6"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5f036e2725746828fd7bbdfa7ae66d44"><td class="memItemLeft" align="right" valign="top"><a id="a5f036e2725746828fd7bbdfa7ae66d44"></a>
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>
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<tr class="memitem:a04efac096dedf5111b76c59d5c4cae3f"><td class="memItemLeft" align="right" valign="top"><a id="a04efac096dedf5111b76c59d5c4cae3f"></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> > > & </td><td class="memItemRight" valign="bottom"><b>relevanceRates</b> () const</td></tr>
<tr class="separator:a04efac096dedf5111b76c59d5c4cae3f"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a1f7fca17f1af46f16730a2f1dbdd7f29"><td class="memItemLeft" align="right" valign="top"><a id="a1f7fca17f1af46f16730a2f1dbdd7f29"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>numberOfRates</b> () const</td></tr>
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<tr class="memitem:a9d1cf8d9e7aa612c66fee3a68fac3066"><td class="memItemLeft" align="right" valign="top"><a id="a9d1cf8d9e7aa612c66fee3a68fac3066"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>numberOfSteps</b> () const</td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Market-model evolution description. </p>
<p>This class stores:</p><ol type="1">
<li>evolutionTimes = the times at which the rates need to be known,</li>
<li>rateTimes = the times defining the rates that are to be evolved,</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>
</ul>
<dl class="section examples"><dt>Examples</dt><dd><a class="el" href="_market_models_8cpp-example.html#_a4">MarketModels.cpp</a>.</dd>
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