- QuantLib
- EvolutionDescription
 
Market-model evolution description. More...
#include <ql/models/marketmodels/evolutiondescription.hpp>
| Public Member Functions | |
| EvolutionDescription (const std::vector< Time > &rateTimes, const std::vector< Time > &evolutionTimes=std::vector< Time >(), const std::vector< std::pair< Size, Size > > &relevanceRates=std::vector< range >()) | |
| const std::vector< Time > & | rateTimes () const | 
| const std::vector< Time > & | rateTaus () const | 
| const std::vector< Time > & | evolutionTimes () const | 
| const std::vector< Size > & | firstAliveRate () const | 
| const std::vector< std::pair < Size, Size > > & | relevanceRates () const | 
| Size | numberOfRates () const | 
| Size | numberOfSteps () const | 
Market-model evolution description.
This class stores:
This class is really just a tuple of evolution and rate times;
           |-----|-----|-----|-----|-----|      (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