MarketModel Class Reference

#include <ql/models/marketmodels/marketmodel.hpp>

Inheritance diagram for MarketModel:

List of all members.


Detailed Description

base class for market models

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

Public Member Functions

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 MatrixpseudoRoot (Size i) const =0
virtual const Matrixcovariance (Size i) const
virtual const MatrixtotalCovariance (Size endIndex) const
std::vector< VolatilitytimeDependentVolatility (Size i) const