QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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piecewiseconstantvariance.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007 Ferdinando Ametrano
5 Copyright (C) 2007 Mark Joshi
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21
22#ifndef quantlib_piecewise_const_variance_hpp
23#define quantlib_piecewise_const_variance_hpp
24
25#include <ql/types.hpp>
26#include <vector>
27
28namespace QuantLib {
29
30 class EvolutionDescription;
31 class Matrix;
32
34 public:
35 virtual ~PiecewiseConstantVariance() = default;
36 virtual const std::vector<Real>& variances() const = 0;
37 virtual const std::vector<Volatility>& volatilities() const = 0;
38 virtual const std::vector<Time>& rateTimes() const = 0;
39 Real variance(Size i) const;
40 Volatility volatility(Size i) const;
41 //const std::vector<Real>& totalVariances() const;
42 //const std::vector<Volatility>& totalVolatilities() const;
43 Real totalVariance(Size i) const;
45 };
46
47}
48
49#endif
virtual const std::vector< Volatility > & volatilities() const =0
virtual const std::vector< Real > & variances() const =0
virtual const std::vector< Time > & rateTimes() const =0
virtual ~PiecewiseConstantVariance()=default
LinearInterpolation variance
QL_REAL Real
real number
Definition: types.hpp:50
Real Volatility
volatility
Definition: types.hpp:78
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
Custom types.