LinearAnnuityMapping Class Reference

#include <qle/models/linearannuitymapping.hpp>

Inheritance diagram for LinearAnnuityMapping:

Collaboration diagram for LinearAnnuityMapping:

Public Member Functions
	LinearAnnuityMapping (const Real a, const Real b)
Real	map (const Real S) const override
Real	mapPrime (const Real S) const override
Real	mapPrime2 (const Real S) const override
bool	mapPrime2IsZero () const override
Real	a () const
Real	b () const
Public Member Functions inherited from AnnuityMapping
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

Private Attributes
Real	a_
Real	b_

Additional Inherited Members
Protected Attributes inherited from AnnuityMapping
double	h_ = 1E-6

Detailed Description

linear annuity mapping function f(S) = a*S+b

Definition at line 30 of file linearannuitymapping.hpp.

Constructor & Destructor Documentation

LinearAnnuityMapping()

LinearAnnuityMapping	(	const Real	a,
		const Real	b
	)

Definition at line 29 of file linearannuitymapping.cpp.

: a_(a), b_(b) {}

Member Function Documentation

map()

Real map ( const Real  S ) const

overridevirtual

Implements AnnuityMapping.

Definition at line 31 of file linearannuitymapping.cpp.

{ return a_ * S + b_; }

mapPrime()

Real mapPrime ( const Real  S ) const

overridevirtual

Reimplemented from AnnuityMapping.

Definition at line 33 of file linearannuitymapping.cpp.

{ return a_; }

mapPrime2()

Real mapPrime2 ( const Real  S ) const

overridevirtual

Reimplemented from AnnuityMapping.

Definition at line 35 of file linearannuitymapping.cpp.

{ return 0.0; }

mapPrime2IsZero()

bool mapPrime2IsZero ( ) const

overridevirtual

Implements AnnuityMapping.

Definition at line 37 of file linearannuitymapping.cpp.

{ return true; }

a()

Real a

(

)

const

Definition at line 39 of file linearannuitymapping.hpp.

{ return a_; }

b()

Real b

(

)

const

Definition at line 40 of file linearannuitymapping.hpp.

{ return b_; }

Member Data Documentation

a_

Real a_

private

Definition at line 43 of file linearannuitymapping.hpp.

b_

Real b_

private

Definition at line 43 of file linearannuitymapping.hpp.