#include <qle/models/piecewiseconstanthelper.hpp>

Inheritance diagram for PiecewiseConstantHelper1:

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Public Member Functions
	PiecewiseConstantHelper1 (const Array &t, const QuantLib::ext::shared_ptr< QuantLib::Constraint > &constraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())

	PiecewiseConstantHelper1 (const std::vector< Date > &dates, const Handle< YieldTermStructure > &yts, const QuantLib::ext::shared_ptr< QuantLib::Constraint > &constraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())

const Array &	t () const

const QuantLib::ext::shared_ptr< Parameter >	p () const

void	update () const

Real	y (const Time t) const

Real	int_y_sqr (const Time t) const
	int_0^t y^2(s) ds More...

Real	direct (const Real x) const

Real	inverse (const Real y) const

Protected Attributes
const Array	t_

const QuantLib::ext::shared_ptr< PseudoParameter >	y_

Private Attributes
std::vector< Real >	b_

Detailed Description

Piecewise Constant Helper 1.

Definition at line 40 of file piecewiseconstanthelper.hpp.

Constructor & Destructor Documentation

◆ PiecewiseConstantHelper1() [1/2]

PiecewiseConstantHelper1	(	const Array &	t,
		const QuantLib::ext::shared_ptr< QuantLib::Constraint > &	constraint = `QuantLib::ext::make_shared< QuantLib::NoConstraint >()`
	)

◆ PiecewiseConstantHelper1() [2/2]

PiecewiseConstantHelper1	(	const std::vector< Date > &	dates,
		const Handle< YieldTermStructure > &	yts,
		const QuantLib::ext::shared_ptr< QuantLib::Constraint > &	constraint = `QuantLib::ext::make_shared< QuantLib::NoConstraint >()`
	)

Member Function Documentation

◆ t()

const Array & t ( ) const

Definition at line 172 of file piecewiseconstanthelper.hpp.

172{ return t_; }

QuantExt::PiecewiseConstantHelper1::t_

const Array t_

Definition: piecewiseconstanthelper.hpp:59

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◆ p()

const QuantLib::ext::shared_ptr< Parameter > p ( ) const

Definition at line 174 of file piecewiseconstanthelper.hpp.

174{ return y_; }

QuantExt::PiecewiseConstantHelper1::y_

const QuantLib::ext::shared_ptr< PseudoParameter > y_

Definition: piecewiseconstanthelper.hpp:61

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◆ update()

void update ( ) const

Definition at line 180 of file piecewiseconstanthelper.hpp.

                                                   {
    Real sum = 0.0;
    b_.resize(t_.size());
    for (Size i = 0; i < t_.size(); ++i) {
        sum += direct(y_->params()[i]) * direct(y_->params()[i]) * (t_[i] - (i == 0 ? 0.0 : t_[i - 1]));
        b_[i] = sum;
    }
}

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◆ y()

Real y ( const Time t ) const

this returns the transformed value

Definition at line 272 of file piecewiseconstanthelper.hpp.

                                                          {
    return direct(QL_PIECEWISE_FUNCTION(t_, y_->params(), t));
}

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◆ int_y_sqr()

Real int_y_sqr ( const Time t ) const

int_0^t y^2(s) ds

Definition at line 288 of file piecewiseconstanthelper.hpp.

                                                                  {
    if (t < 0.0)
        return 0.0;
    Size i = std::upper_bound(t_.begin(), t_.end(), t) - t_.begin();
    Real res = 0.0;
    if (i >= 1)
        res += b_[std::min(i - 1, b_.size() - 1)];
    Real a = direct(y_->params()[std::min(i, y_->size() - 1)]);
    res += a * a * (t - (i == 0 ? 0.0 : t_[i - 1]));
    return res;
}