Market Model Evolvers

Overview

functions to construct and use Market Model Evolvers objects.

Function List

qlForwardRateIpc ()
qlForwardRateNormalPc ()
qlForwardRatePc ()
qlMarketModelEvolverAdvanceStep ()
qlMarketModelEvolverCurrentStep ()
qlMarketModelEvolverNumeraires ()
qlMarketModelEvolverStartNewPath ()

Function Documentation

qlForwardRateIpc

string returnValue
 
qlForwardRateIpc(
        string ObjectId
        string MarketModel
        string BrownianGeneratorFactory
        vector<long> Numeraires
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class LogNormalFwdRateIpc and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
MarketModel	MarketModel object ID.
BrownianGeneratorFactory	Brownian generator factory.
Numeraires	numeraire vector.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlForwardRateNormalPc

string returnValue
 
qlForwardRateNormalPc(
        string ObjectId
        string MarketModel
        string BrownianGeneratorFactory
        vector<long> Numeraires
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class NormalFwdRatePc and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
MarketModel	MarketModel object ID.
BrownianGeneratorFactory	Brownian generator factory.
Numeraires	numeraire vector.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlForwardRatePc

string returnValue
 
qlForwardRatePc(
        string ObjectId
        string MarketModel
        string BrownianGeneratorFactory
        vector<long> Numeraires
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class LogNormalFwdRatePc and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
MarketModel	MarketModel object ID.
BrownianGeneratorFactory	Brownian generator factory.
Numeraires	numeraire vector.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlMarketModelEvolverAdvanceStep

double returnValue
 
qlMarketModelEvolverAdvanceStep(
        string ObjectId
        any Trigger)

Description:

advance a single step in the current path for the MarketModelEvolver object.

Supported Platforms:

Excel, Calc

Parameters

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

qlMarketModelEvolverCurrentStep

long returnValue
 
qlMarketModelEvolverCurrentStep(
        string ObjectId
        any Trigger)

Description:

returns the current step index in the current path for the MarketModelEvolver object.

Supported Platforms:

Excel, Calc

Parameters

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

qlMarketModelEvolverNumeraires

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

Description:

returns the numeraries for the MarketModelEvolver object.

Supported Platforms:

Excel, Calc

Parameters

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

qlMarketModelEvolverStartNewPath

double returnValue
 
qlMarketModelEvolverStartNewPath(
        string ObjectId
        any Trigger)

Description:

start a new path for the MarketModelEvolver object.

Supported Platforms:

Excel, Calc

Parameters

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