MarketModel Class Reference

base class for market models More...

#include <marketmodel.hpp>

Inheritance diagram for MarketModel:

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Public Member Functions
virtual	~MarketModel ()=default
virtual const std::vector< Rate > &	initialRates () const =0
virtual const std::vector< Spread > &	displacements () const =0
virtual const EvolutionDescription &	evolution () const =0
virtual Size	numberOfRates () const =0
virtual Size	numberOfFactors () const =0
virtual Size	numberOfSteps () const =0
virtual const Matrix &	pseudoRoot (Size i) const =0
virtual const Matrix &	covariance (Size i) const
virtual const Matrix &	totalCovariance (Size endIndex) const
std::vector< Volatility >	timeDependentVolatility (Size i) const

Private Attributes
std::vector< Matrix >	covariance_
std::vector< Matrix >	totalCovariance_

Detailed Description

base class for market models

For each time step, generates the pseudo-square root of the covariance matrix for that time step.

Definition at line 39 of file marketmodel.hpp.

Constructor & Destructor Documentation

~MarketModel()

virtual ~MarketModel ( )

virtualdefault

Member Function Documentation

initialRates()

virtual const std::vector< Rate > & initialRates ( ) const

pure virtual

Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.

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displacements()

virtual const std::vector< Spread > & displacements ( ) const

pure virtual

Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.

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evolution()

virtual const EvolutionDescription & evolution ( ) const

pure virtual

Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.

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numberOfRates()

virtual Size numberOfRates ( ) const

pure virtual

Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.

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numberOfFactors()

virtual Size numberOfFactors ( ) const

pure virtual

Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.

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numberOfSteps()

virtual Size numberOfSteps ( ) const

pure virtual

Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.

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pseudoRoot()

virtual const Matrix & pseudoRoot ( Size  i ) const

pure virtual

Implemented in AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade.

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covariance()

const Matrix & covariance ( Size  i ) const

virtual

Definition at line 28 of file marketmodel.cpp.

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totalCovariance()

const Matrix & totalCovariance ( Size  endIndex ) const

virtual

Definition at line 40 of file marketmodel.cpp.

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timeDependentVolatility()

std::vector< Volatility > timeDependentVolatility

(

Size

i

)

const

Definition at line 55 of file marketmodel.cpp.

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Member Data Documentation

covariance_

std::vector<Matrix> covariance_

mutableprivate

Definition at line 53 of file marketmodel.hpp.

totalCovariance_

std::vector<Matrix> totalCovariance_

private

Definition at line 53 of file marketmodel.hpp.