1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
|
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<meta http-equiv="X-UA-Compatible" content="IE=9"/>
<meta name="generator" content="Doxygen 1.8.20"/>
<meta name="viewport" content="width=device-width, initial-scale=1"/>
<title>QuantLib: EvolutionDescription Class Reference</title>
<link href='https://fonts.googleapis.com/css?family=Merriweather+Sans:800' rel='stylesheet' type='text/css'>
<link href="tabs.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="jquery.js"></script>
<script type="text/javascript" src="dynsections.js"></script>
<link href="search/search.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="search/searchdata.js"></script>
<script type="text/javascript" src="search/search.js"></script>
<script type="text/x-mathjax-config">
MathJax.Hub.Config({
extensions: ["tex2jax.js"],
jax: ["input/TeX","output/HTML-CSS"],
});
</script>
<script type="text/javascript" async="async" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.5/MathJax.js"></script>
<link href="doxygen.css" rel="stylesheet" type="text/css" />
<link href="quantlibextra.css" rel="stylesheet" type="text/css"/>
</head>
<body>
<div id="top"><!-- do not remove this div, it is closed by doxygen! -->
<div id="titlearea">
<table cellspacing="0" cellpadding="0">
<tbody>
<tr style="height: 56px;">
<td id="projectalign" style="padding-left: 0.5em;">
<div id="projectname"><a href="http://quantlib.org">
<img alt="QuantLib" src="QL-title.jpg"></a>
<div id="projectbrief">A free/open-source library for quantitative finance</div>
<div id="projectnumber">Reference manual - version 1.20</div>
</div>
</td>
</tr>
</tbody>
</table>
</div>
<!-- end header part -->
<!-- Generated by Doxygen 1.8.20 -->
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
var searchBox = new SearchBox("searchBox", "search",false,'Search');
/* @license-end */
</script>
<script type="text/javascript" src="menudata.js"></script>
<script type="text/javascript" src="menu.js"></script>
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
$(function() {
initMenu('',true,false,'search.php','Search');
$(document).ready(function() { init_search(); });
});
/* @license-end */</script>
<div id="main-nav"></div>
<!-- window showing the filter options -->
<div id="MSearchSelectWindow"
onmouseover="return searchBox.OnSearchSelectShow()"
onmouseout="return searchBox.OnSearchSelectHide()"
onkeydown="return searchBox.OnSearchSelectKey(event)">
</div>
<!-- iframe showing the search results (closed by default) -->
<div id="MSearchResultsWindow">
<iframe src="javascript:void(0)" frameborder="0"
name="MSearchResults" id="MSearchResults">
</iframe>
</div>
<div id="nav-path" class="navpath">
<ul>
<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>
</div>
</div><!-- top -->
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="class_quant_lib_1_1_evolution_description-members.html">List of all members</a> </div>
<div class="headertitle">
<div class="title">EvolutionDescription Class Reference</div> </div>
</div><!--header-->
<div class="contents">
<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>
<tr class="separator:aecf292561e16fe6df3c652f7b07ee82c"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad4bd892d2064ccdbad9541fb85bf7b95"><td class="memItemLeft" align="right" valign="top"><a id="ad4bd892d2064ccdbad9541fb85bf7b95"></a>
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 class="separator:ad4bd892d2064ccdbad9541fb85bf7b95"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6100b74c6332259fe1847a30add4bcf6"><td class="memItemLeft" align="right" valign="top"><a id="a6100b74c6332259fe1847a30add4bcf6"></a>
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 class="separator:a6100b74c6332259fe1847a30add4bcf6"><td class="memSeparator" colspan="2"> </td></tr>
<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>
<tr class="separator:a5f036e2725746828fd7bbdfa7ae66d44"><td class="memSeparator" colspan="2"> </td></tr>
<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>
<tr class="separator:a1f7fca17f1af46f16730a2f1dbdd7f29"><td class="memSeparator" colspan="2"> </td></tr>
<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>
<tr class="separator:a9d1cf8d9e7aa612c66fee3a68fac3066"><td class="memSeparator" colspan="2"> </td></tr>
</table>
<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>
</dl>
</div></div><!-- contents -->
<!-- HTML footer for doxygen 1.8.9.1-->
<!-- start footer part -->
<hr class="footer"/><address class="footer"><small>
Generated by <a href="http://www.doxygen.org/index.html">Doxygen</a>
1.8.20
</small></address>
</body>
</html>
|
