QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | List of all members
MarketModel Class Referenceabstract

base class for market models More...

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

+ Inheritance diagram for MarketModel:

Public Member Functions

virtual const std::vector< Rate > & initialRates () const =0
 
virtual const std::vector< Spread > & displacements () const =0
 
virtual const EvolutionDescriptionevolution () 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
 

Detailed Description

base class for market models

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