AnnuityMapping Class Reference

#include <qle/models/annuitymapping.hpp>

Inheritance diagram for AnnuityMapping:

Collaboration diagram for AnnuityMapping:

Public Member Functions
virtual	~AnnuityMapping ()
virtual Real	map (const Real S) const =0
virtual Real	mapPrime (const Real S) const
virtual Real	mapPrime2 (const Real S) const
virtual bool	mapPrime2IsZero () const =0

Protected Attributes
double	h_ = 1E-6

Detailed Description

base class for annuity mapping functions used in TSR models

Definition at line 35 of file annuitymapping.hpp.

Constructor & Destructor Documentation

~AnnuityMapping()

virtual ~AnnuityMapping ( )

virtual

Definition at line 37 of file annuitymapping.hpp.

{}

Member Function Documentation

map()

virtual Real map ( const Real  S ) const

pure virtual

Implemented in LinearAnnuityMapping.

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mapPrime()

Real mapPrime ( const Real  S ) const

virtual

Reimplemented in LinearAnnuityMapping.

Definition at line 23 of file annuitymapping.cpp.

{ return (map(S + h_) - map(S - h_)) / (2.0 * h_); }

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mapPrime2()

Real mapPrime2 ( const Real  S ) const

virtual

Reimplemented in LinearAnnuityMapping.

Definition at line 24 of file annuitymapping.cpp.

{ return (map(S + h_) - 2.0 * map(S) + map(S - h_)) / (h_ * h_); }

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mapPrime2IsZero()

virtual bool mapPrime2IsZero ( ) const

pure virtual

Implemented in LinearAnnuityMapping.

Member Data Documentation

h_

double h_ = 1E-6

protected

Definition at line 53 of file annuitymapping.hpp.