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External module "ql/models/marketmodels/evolutiondescription"

Index

Functions

checkCompatibility

  • Check that there is one numeraire for each evolution time. Each numeraire must be an index amongst the rate times so it ranges from 0 to n. Each numeraire must not have expired before the end of the step.

    Parameters

    Returns void

isInMoneyMarketMeasure

  • Parameters

    Returns boolean

isInMoneyMarketPlusMeasure

  • Parameters

    Returns boolean

isInTerminalMeasure

  • Parameters

    Returns boolean

moneyMarketMeasure

  • Discretely compounded money market account measure: for each step the first unexpired bond is used as numeraire.

    Parameters

    Returns Size[]

moneyMarketPlusMeasure

  • Offsetted discretely compounded money market account measure: for each step the offset-th unexpired bond is used as numeraire. When offset=0 the result is the usual discretely compounded money market account measure

    Parameters

    Returns Size[]

terminalMeasure

  • Parameters

    Returns Size[]