FwdPeriodAdapter Class Reference

#include <fwdperiodadapter.hpp>

Inheritance diagram for FwdPeriodAdapter:

Collaboration diagram for FwdPeriodAdapter:

Public Member Functions
	FwdPeriodAdapter (const ext::shared_ptr< MarketModel > &largeModel, Size period, Size offset, std::vector< Spread > newDisplacements_)
Public Member Functions inherited from MarketModel
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

MarketModel interface
EvolutionDescription	evolution_
Size	numberOfFactors_
Size	numberOfRates_
Size	numberOfSteps_
std::vector< Rate >	initialRates_
std::vector< Matrix >	pseudoRoots_
std::vector< Spread >	displacements_
const std::vector< Rate > &	initialRates () const override
const std::vector< Spread > &	displacements () const override
const EvolutionDescription &	evolution () const override
Size	numberOfRates () const override
Size	numberOfFactors () const override
Size	numberOfSteps () const override
const Matrix &	pseudoRoot (Size i) const override

Detailed Description

Definition at line 31 of file fwdperiodadapter.hpp.

Constructor & Destructor Documentation

FwdPeriodAdapter()

FwdPeriodAdapter	(	const ext::shared_ptr< MarketModel > &	largeModel,
		Size	period,
		Size	offset,
		std::vector< Spread >	newDisplacements_
	)

Definition at line 32 of file fwdperiodadapter.cpp.

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Member Function Documentation

initialRates()

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

overridevirtual

Implements MarketModel.

Definition at line 61 of file fwdperiodadapter.hpp.

displacements()

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

overridevirtual

Implements MarketModel.

Definition at line 66 of file fwdperiodadapter.hpp.

evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Implements MarketModel.

Definition at line 71 of file fwdperiodadapter.hpp.

numberOfRates()

Size numberOfRates ( ) const

overridevirtual

Implements MarketModel.

Definition at line 75 of file fwdperiodadapter.hpp.

numberOfFactors()

Size numberOfFactors ( ) const

overridevirtual

Implements MarketModel.

Definition at line 79 of file fwdperiodadapter.hpp.

numberOfSteps()

Size numberOfSteps ( ) const

overridevirtual

Implements MarketModel.

Definition at line 83 of file fwdperiodadapter.hpp.

pseudoRoot()

const Matrix & pseudoRoot ( Size  i ) const

overridevirtual

Implements MarketModel.

Definition at line 87 of file fwdperiodadapter.hpp.

Member Data Documentation

evolution_

EvolutionDescription evolution_

private

Definition at line 48 of file fwdperiodadapter.hpp.

numberOfFactors_

Size numberOfFactors_

private

Definition at line 49 of file fwdperiodadapter.hpp.

numberOfRates_

Size numberOfRates_

private

Definition at line 49 of file fwdperiodadapter.hpp.

numberOfSteps_

Size numberOfSteps_

private

Definition at line 49 of file fwdperiodadapter.hpp.

initialRates_

std::vector<Rate> initialRates_

private

Definition at line 50 of file fwdperiodadapter.hpp.

pseudoRoots_

std::vector<Matrix> pseudoRoots_

private

Definition at line 51 of file fwdperiodadapter.hpp.

displacements_

std::vector<Spread> displacements_

private

Definition at line 52 of file fwdperiodadapter.hpp.