Class ConstrainedEvolver

Constrained market-model evolver

Abstract base class. Requires extra methods above that of marketmodelevolver to let you fix rates via importance sampling.

The evolver does the actual gritty work of evolving the forward rates from one time to the next.

This is intended to be used for the Fries-Joshi proxy simulation approach to Greeks

Hierarchy

MarketModelEvolver
- ConstrainedEvolver
  - LogNormalFwdRateEulerConstrained

Index

Methods

Methods

advanceStep

advanceStep(): Real

Inherited from MarketModelEvolver.advanceStep
- Defined in ql/models/marketmodels/evolver.ts:23
Returns Real

currentState

currentState(): CurveState

Inherited from MarketModelEvolver.currentState
- Defined in ql/models/marketmodels/evolver.ts:29
Returns CurveState

currentStep

currentStep(): Size

Inherited from MarketModelEvolver.currentStep
- Defined in ql/models/marketmodels/evolver.ts:26
Returns Size

numeraires

numeraires(): Size[]

Inherited from MarketModelEvolver.numeraires
- Defined in ql/models/marketmodels/evolver.ts:17
Returns Size[]

setConstraintType

setConstraintType(startIndexOfSwapRate: Size[], EndIndexOfSwapRate: Size[]): void

- Defined in ql/models/marketmodels/constrainedevolver.ts:24
Parameters
- startIndexOfSwapRate: Size[]
- EndIndexOfSwapRate: Size[]
Returns void

setInitialState

setInitialState(c: CurveState): void

Inherited from MarketModelEvolver.setInitialState
- Defined in ql/models/marketmodels/evolver.ts:32
Parameters
- c: CurveState
Returns void

setThisConstraint

setThisConstraint(rateConstraints: Rate[], isConstraintActive: boolean[]): void

- Defined in ql/models/marketmodels/constrainedevolver.ts:29
Parameters
- rateConstraints: Rate[]
- isConstraintActive: boolean[]
Returns void

startNewPath

startNewPath(): Real

Inherited from MarketModelEvolver.startNewPath
- Defined in ql/models/marketmodels/evolver.ts:20
Returns Real