- QuantLib
- LogNormalFwdRateEulerConstrained
 
euler stepping More...
#include <ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.hpp>

| Public Member Functions | |
| LogNormalFwdRateEulerConstrained (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) | |
| MarketModelConstrained interface | |
| virtual void | setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &endIndexOfSwapRate) | 
| call once | |
| virtual void | setThisConstraint (const std::vector< Rate > &rateConstraints, const std::valarray< bool > &isConstraintActive) | 
| call before each path | |
| MarketModel interface | |
| const std::vector< Size > & | numeraires () const | 
| Real | startNewPath () | 
| Real | advanceStep () | 
| Size | currentStep () const | 
| const CurveState & | currentState () const | 
| void | setInitialState (const CurveState &) | 
euler stepping