Evolution Description

Overview

functions to construct and use evolution description related objects.

Function List

qlEvolutionDescription ()
qlEvolutionDescriptionEvolutionTimes ()
qlEvolutionDescriptionFirstAliveRate ()
qlEvolutionDescriptionFromProduct ()
qlEvolutionDescriptionNumberOfRates ()
qlEvolutionDescriptionNumberOfSteps ()
qlEvolutionDescriptionRateTaus ()
qlEvolutionDescriptionRateTimes ()
qlIsInMoneyMarketMeasure ()
qlIsInMoneyMarketPlusMeasure ()
qlIsInTerminalMeasure ()
qlMoneyMarketMeasure ()
qlMoneyMarketPlusMeasure ()
qlTerminalMeasure ()

Function Documentation

qlEvolutionDescription

string returnValue
 
qlEvolutionDescription(
        string ObjectId
        vector<double> RateTimes
        vector<double> EvolutionTimes
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class EvolutionDescription and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
RateTimes	rate fixing times.
EvolutionTimes	evolution times in the simulation.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlEvolutionDescriptionEvolutionTimes

vector<double> returnValue
 
qlEvolutionDescriptionEvolutionTimes(
        string ObjectId
        any Trigger)

Description:

evolution times for the EvolutionDescription object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::EvolutionDescription object
Trigger	dependency tracking trigger

qlEvolutionDescriptionFirstAliveRate

vector<long> returnValue
 
qlEvolutionDescriptionFirstAliveRate(
        string ObjectId
        any Trigger)

Description:

first alive rate at each evolution time for the EvolutionDescription object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::EvolutionDescription object
Trigger	dependency tracking trigger

qlEvolutionDescriptionFromProduct

string returnValue
 
qlEvolutionDescriptionFromProduct(
        string ObjectId
        string Product
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class EvolutionDescription and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
Product	ID of product object.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlEvolutionDescriptionNumberOfRates

long returnValue
 
qlEvolutionDescriptionNumberOfRates(
        string ObjectId
        any Trigger)

Description:

number of rates for the EvolutionDescription object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::EvolutionDescription object
Trigger	dependency tracking trigger

qlEvolutionDescriptionNumberOfSteps

long returnValue
 
qlEvolutionDescriptionNumberOfSteps(
        string ObjectId
        any Trigger)

Description:

number of steps for the EvolutionDescription object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::EvolutionDescription object
Trigger	dependency tracking trigger

qlEvolutionDescriptionRateTaus

vector<double> returnValue
 
qlEvolutionDescriptionRateTaus(
        string ObjectId
        any Trigger)

Description:

rate taus for the EvolutionDescription object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::EvolutionDescription object
Trigger	dependency tracking trigger

qlEvolutionDescriptionRateTimes

vector<double> returnValue
 
qlEvolutionDescriptionRateTimes(
        string ObjectId
        any Trigger)

Description:

rates fixing times for the EvolutionDescription object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::EvolutionDescription object
Trigger	dependency tracking trigger

qlIsInMoneyMarketMeasure

bool returnValue
 
qlIsInMoneyMarketMeasure(
        string EvolutionDescription
        vector<long> Numeraires
        any Trigger)

Description:

Returns TRUE if the numeraire vector is money market measure for the given EvolutionDescription object.

Supported Platforms:

Excel, Calc

Parameters

EvolutionDescription	ID of EvolutionDescription object.
Numeraires	vector of numeraires.
Trigger	dependency tracking trigger

qlIsInMoneyMarketPlusMeasure

bool returnValue
 
qlIsInMoneyMarketPlusMeasure(
        string EvolutionDescription
        vector<long> Numeraires
        long Offset
        any Trigger)

Description:

Returns TRUE if the numeraire vector is money market measure plus for the given EvolutionDescription object.

Supported Platforms:

Excel, Calc

Parameters

EvolutionDescription	ID of EvolutionDescription object.
Numeraires	vector of numeraires.
Offset	offset applied to the MoneyMarket measure. Default value = 1.
Trigger	dependency tracking trigger

qlIsInTerminalMeasure

bool returnValue
 
qlIsInTerminalMeasure(
        string EvolutionDescription
        vector<long> Numeraires
        any Trigger)

Description:

Returns TRUE if the numeraire vector is Terminal measure for the given EvolutionDescription object.

Supported Platforms:

Excel, Calc

Parameters

EvolutionDescription	ID of EvolutionDescription object.
Numeraires	vector of numeraires.
Trigger	dependency tracking trigger

qlMoneyMarketMeasure

vector<long> returnValue
 
qlMoneyMarketMeasure(
        string EvolutionDescription
        any Trigger)

Description:

Returns the discretely compounded money market measure for the given EvolutionDescription object.

Supported Platforms:

Excel, Calc

Parameters

EvolutionDescription	ID of EvolutionDescription object.
Trigger	dependency tracking trigger

qlMoneyMarketPlusMeasure

vector<long> returnValue
 
qlMoneyMarketPlusMeasure(
        string EvolutionDescription
        long Offset
        any Trigger)

Description:

Returns the discretely compounded money market measure for the given EvolutionDescription object.

Supported Platforms:

Excel, Calc

Parameters

EvolutionDescription	ID of EvolutionDescription object.
Offset	offset applied to the MoneyMarket measure. Default value = 1.
Trigger	dependency tracking trigger

qlTerminalMeasure

vector<long> returnValue
 
qlTerminalMeasure(
        string EvolutionDescription
        any Trigger)

Description:

Returns the terminal measure for the given EvolutionDescription object.

Supported Platforms:

Excel, Calc

Parameters

EvolutionDescription	ID of EvolutionDescription object.
Trigger	dependency tracking trigger