functions to construct and use Market Model Evolvers objects.
The first step is to load the QuantLib package.
Needs["QuantLib`"]
Within the MarketModelEvolvers part there are several constructors and member functions available
In[111]:=
Select[Category[MarketModelEvolvers],QLConstructor[#]&]
Out[111]=
In[112]:=
Select[Category[MarketModelEvolvers],QLMember[#]&]
Out[112]=
In[113]:=
Select[Category[MarketModelEvolvers],QLProcedure[#]&]
Out[113]=
obj=ForwardRatePc[MarketModel,BrownianGeneratorFactory,Numeraires]
ForwardRateIpc
obj=ForwardRateIpc[MarketModel,BrownianGeneratorFactory,Numeraires]
ForwardRateNormalPc
obj=ForwardRateNormalPc[MarketModel,BrownianGeneratorFactory,Numeraires]
MarketModelEvolverStartNewPath
MarketModelEvolverStartNewPath[obj]
MarketModelEvolverAdvanceStep
MarketModelEvolverAdvanceStep[obj]
MarketModelEvolverCurrentStep
MarketModelEvolverCurrentStep[obj]
MarketModelEvolverNumeraires
MarketModelEvolverNumeraires[obj]
