ExtendedCoxIngersollRoss::FittingParameter::Impl Class Reference

Inheritance diagram for ExtendedCoxIngersollRoss::FittingParameter::Impl:

Collaboration diagram for ExtendedCoxIngersollRoss::FittingParameter::Impl:

Public Member Functions
	Impl (Handle< YieldTermStructure > termStructure, Real theta, Real k, Real sigma, Real x0)
Real	value (const Array &, Time t) const override
Public Member Functions inherited from Parameter::Impl
virtual	~Impl ()=default
virtual Real	value (const Array &params, Time t) const =0

Private Attributes
Handle< YieldTermStructure >	termStructure_
Real	theta_
Real	k_
Real	sigma_
Real	x0_

Detailed Description

Definition at line 116 of file extendedcoxingersollross.hpp.

Constructor & Destructor Documentation

Impl()

Impl	(	Handle< YieldTermStructure >	termStructure,
		Real	theta,
		Real	k,
		Real	sigma,
		Real	x0
	)

Definition at line 118 of file extendedcoxingersollross.hpp.

Member Function Documentation

value()

Real value ( const Array &  , Time  t  ) const

overridevirtual

Implements Parameter::Impl.

Definition at line 122 of file extendedcoxingersollross.hpp.

Member Data Documentation

termStructure_

Handle<YieldTermStructure> termStructure_

private

Definition at line 135 of file extendedcoxingersollross.hpp.

theta_

Real theta_

private

Definition at line 136 of file extendedcoxingersollross.hpp.

k_

Real k_

private

Definition at line 136 of file extendedcoxingersollross.hpp.

sigma_

Real sigma_

private

Definition at line 136 of file extendedcoxingersollross.hpp.

x0_

Real x0_

private

Definition at line 136 of file extendedcoxingersollross.hpp.