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"ql/models/marketmodels/evolvers/lognormalfwdrateiballand"
LogNormalFwdRateiBalland
Class LogNormalFwdRateiBalland
Hierarchy
MarketModelEvolver
LogNormalFwdRateiBalland
Index
Constructors
constructor
Properties
_alive
_brownians
_calculators
_current
Step
_curve
State
_displacements
_fixed
Drifts
_forwards
_generator
_initial
Drifts
_initial
Log
Forwards
_initial
Step
_log
Forwards
_market
Model
_number
OfFactors
_number
OfRates
_numeraires
_rate
Taus
Methods
advance
Step
current
State
current
Step
numeraires
set
Forwards
set
Initial
State
start
New
Path
Constructors
constructor
new
Log
Normal
Fwd
Ratei
Balland
(
marketModel
:
MarketModel
, factory
:
BrownianGeneratorFactory
, numeraires
:
Size
[]
, initialStep
?:
Size
)
:
LogNormalFwdRateiBalland
Parameters
marketModel:
MarketModel
factory:
BrownianGeneratorFactory
numeraires:
Size
[]
Default value
initialStep:
Size
= 0
Returns
LogNormalFwdRateiBalland
Properties
Private
_alive
_alive
:
Size
[]
Private
_brownians
_brownians
:
Real
[]
Private
_calculators
_calculators
:
LMMDriftCalculator
[]
Private
_current
Step
_current
Step
:
Size
Private
_curve
State
_curve
State
:
LMMCurveState
Private
_displacements
_displacements
:
Rate
[]
Private
_fixed
Drifts
_fixed
Drifts
:
Real
[]
[]
Private
_forwards
_forwards
:
Rate
[]
Private
_generator
_generator
:
BrownianGenerator
Private
_initial
Drifts
_initial
Drifts
:
Real
[]
Private
_initial
Log
Forwards
_initial
Log
Forwards
:
Rate
[]
Private
_initial
Step
_initial
Step
:
Size
Private
_log
Forwards
_log
Forwards
:
Rate
[]
Private
_market
Model
_market
Model
:
MarketModel
Private
_number
OfFactors
_number
OfFactors
:
Size
Private
_number
OfRates
_number
OfRates
:
Size
Private
_numeraires
_numeraires
:
Size
[]
Private
_rate
Taus
_rate
Taus
:
Time
[]
Methods
advance
Step
advance
Step
(
)
:
Real
Returns
Real
current
State
current
State
(
)
:
CurveState
Returns
CurveState
current
Step
current
Step
(
)
:
Real
Returns
Real
numeraires
numeraires
(
)
:
Size
[]
Returns
Size
[]
Private
set
Forwards
set
Forwards
(
forwards
:
Real
[]
)
:
void
Parameters
forwards:
Real
[]
Returns
void
set
Initial
State
set
Initial
State
(
cs
:
CurveState
)
:
void
Parameters
cs:
CurveState
Returns
void
start
New
Path
start
New
Path
(
)
:
Real
Returns
Real
Globals
"ql/models/marketmodels/evolvers/lognormalfwdrateiballand"
Log
Normal
Fwd
Ratei
Balland
constructor
_alive
_brownians
_calculators
_current
Step
_curve
State
_displacements
_fixed
Drifts
_forwards
_generator
_initial
Drifts
_initial
Log
Forwards
_initial
Step
_log
Forwards
_market
Model
_number
OfFactors
_number
OfRates
_numeraires
_rate
Taus
advance
Step
current
State
current
Step
numeraires
set
Forwards
set
Initial
State
start
New
Path