LogNormalFwdRateEulerConstrained Class Reference
euler stepping More...
#include <ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.hpp>
Inheritance diagram for LogNormalFwdRateEulerConstrained:

Public Member Functions | |
| LogNormalFwdRateEulerConstrained (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) | |
MarketModelConstrained interface | |
| virtual void | setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &endIndexOfSwapRate) |
| call once | |
| virtual void | setThisConstraint (const std::vector< Rate > &rateConstraints, const std::valarray< bool > &isConstraintActive) |
| call before each path | |
MarketModel interface | |
| const std::vector< Size > & | numeraires () const |
| Real | startNewPath () |
| Real | advanceStep () |
| Size | currentStep () const |
| const CurveState & | currentState () const |
| void | setInitialState (const CurveState &) |