QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
models
marketmodels
models
piecewiseconstantvariance.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2007 Ferdinando Ametrano
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Copyright (C) 2007 Mark Joshi
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_piecewise_const_variance_hpp
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#define quantlib_piecewise_const_variance_hpp
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#include <
ql/types.hpp
>
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#include <vector>
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namespace
QuantLib
{
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class
EvolutionDescription;
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class
Matrix;
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class
PiecewiseConstantVariance
{
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public
:
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virtual
~PiecewiseConstantVariance
() =
default
;
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virtual
const
std::vector<Real>&
variances
()
const
= 0;
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virtual
const
std::vector<Volatility>&
volatilities
()
const
= 0;
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virtual
const
std::vector<Time>&
rateTimes
()
const
= 0;
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Real
variance
(
Size
i)
const
;
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Volatility
volatility
(
Size
i)
const
;
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//const std::vector<Real>& totalVariances() const;
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//const std::vector<Volatility>& totalVolatilities() const;
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Real
totalVariance
(
Size
i)
const
;
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Volatility
totalVolatility
(
Size
i)
const
;
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};
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}
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#endif
QuantLib::PiecewiseConstantVariance
Definition:
piecewiseconstantvariance.hpp:33
QuantLib::PiecewiseConstantVariance::volatilities
virtual const std::vector< Volatility > & volatilities() const =0
QuantLib::PiecewiseConstantVariance::totalVariance
Real totalVariance(Size i) const
Definition:
piecewiseconstantvariance.cpp:40
QuantLib::PiecewiseConstantVariance::volatility
Volatility volatility(Size i) const
Definition:
piecewiseconstantvariance.cpp:34
QuantLib::PiecewiseConstantVariance::totalVolatility
Volatility totalVolatility(Size i) const
Definition:
piecewiseconstantvariance.cpp:47
QuantLib::PiecewiseConstantVariance::variances
virtual const std::vector< Real > & variances() const =0
QuantLib::PiecewiseConstantVariance::rateTimes
virtual const std::vector< Time > & rateTimes() const =0
QuantLib::PiecewiseConstantVariance::~PiecewiseConstantVariance
virtual ~PiecewiseConstantVariance()=default
variance
LinearInterpolation variance
Definition:
fdmhestonvariancemesher.cpp:45
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib::Volatility
Real Volatility
volatility
Definition:
types.hpp:78
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
types.hpp
Custom types.
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