Class ConstrainedEvolver

Namespace

NanoQL.Models

Assembly

NanoQL.dll

A constrained market-model evolver: an evolver whose rates can be fixed by importance sampling, for the Fries-Joshi proxy simulation approach to Greeks.

[WorkingType]
public abstract class ConstrainedEvolver : MarketModelEvolver

Inheritance

object

MarketModelEvolver

ConstrainedEvolver

Derived

LogNormalFwdRateEulerConstrained

Inherited Members

MarketModelEvolver.StartNewPath()

MarketModelEvolver.AdvanceStep()

MarketModelEvolver.SetInitialState(CurveState)

MarketModelEvolver.Numeraires

MarketModelEvolver.CurrentStep

MarketModelEvolver.CurrentState

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

A working type. An extension point, as in QuantLib.

Constructors

ConstrainedEvolver()

protected ConstrainedEvolver()

Methods

SetConstraintType(ReadOnlySpan<int>, ReadOnlySpan<int>)

Sets, once, the swap rates each step constrains.

public abstract void SetConstraintType(ReadOnlySpan<int> startIndexOfSwapRate, ReadOnlySpan<int> endIndexOfSwapRate)

Parameters

startIndexOfSwapRate ReadOnlySpan<int>

Each step's swap's first rate.

endIndexOfSwapRate ReadOnlySpan<int>

Each step's swap's end, after its last rate.

SetThisConstraint(ReadOnlySpan<double>, ReadOnlySpan<bool>)

Sets, before each path, the value each step constrains its swap rate to, and which steps are active.

public abstract void SetThisConstraint(ReadOnlySpan<double> rateConstraints, ReadOnlySpan<bool> isConstraintActive)

Parameters

rateConstraints ReadOnlySpan<double>

Each step's constrained value.

isConstraintActive ReadOnlySpan<bool>

Whether each step's constraint is active.