Euler. More...
#include <ql/models/marketmodels/evolvers/lognormalfwdrateeuler.hpp>
Public Member Functions | |
LogNormalFwdRateEuler (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) | |
const std::vector< Real > & | browniansThisStep () const |
accessor methods useful for doing pathwise vegas | |
MarketModel interface | |
const std::vector< Size > & | numeraires () const |
Real | startNewPath () |
Real | advanceStep () |
Size | currentStep () const |
const CurveState & | currentState () const |
void | setInitialState (const CurveState &) |
Euler.