QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Abcd-interpolated volatility structure More...
#include <abcdvol.hpp>
Public Member Functions | |
AbcdVol (Real a, Real b, Real c, Real d, const std::vector< Real > &ks, const ext::shared_ptr< PiecewiseConstantCorrelation > &corr, const EvolutionDescription &evolution, Size numberOfFactors, const std::vector< Rate > &initialRates, const std::vector< Spread > &displacements) | |
Public Member Functions inherited from MarketModel | |
virtual | ~MarketModel ()=default |
virtual const std::vector< Rate > & | initialRates () const =0 |
virtual const std::vector< Spread > & | displacements () const =0 |
virtual const EvolutionDescription & | evolution () const =0 |
virtual Size | numberOfRates () const =0 |
virtual Size | numberOfFactors () const =0 |
virtual Size | numberOfSteps () const =0 |
virtual const Matrix & | pseudoRoot (Size i) const =0 |
virtual const Matrix & | covariance (Size i) const |
virtual const Matrix & | totalCovariance (Size endIndex) const |
std::vector< Volatility > | timeDependentVolatility (Size i) const |
MarketModel interface | |
Size | numberOfFactors_ |
Size | numberOfRates_ |
Size | numberOfSteps_ |
std::vector< Rate > | initialRates_ |
std::vector< Spread > | displacements_ |
EvolutionDescription | evolution_ |
std::vector< Matrix > | pseudoRoots_ |
const std::vector< Rate > & | initialRates () const override |
const std::vector< Spread > & | displacements () const override |
const EvolutionDescription & | evolution () const override |
Size | numberOfRates () const override |
Size | numberOfFactors () const override |
Size | numberOfSteps () const override |
const Matrix & | pseudoRoot (Size i) const override |
Abcd-interpolated volatility structure
Definition at line 36 of file abcdvol.hpp.
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overridevirtual |
Implements MarketModel.
Definition at line 68 of file abcdvol.hpp.
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overridevirtual |
Implements MarketModel.
Definition at line 72 of file abcdvol.hpp.
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overridevirtual |
Implements MarketModel.
Definition at line 76 of file abcdvol.hpp.
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overridevirtual |
Implements MarketModel.
Definition at line 80 of file abcdvol.hpp.
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overridevirtual |
Implements MarketModel.
Definition at line 84 of file abcdvol.hpp.
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overridevirtual |
Implements MarketModel.
Definition at line 88 of file abcdvol.hpp.
Implements MarketModel.
Definition at line 92 of file abcdvol.hpp.
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private |
Definition at line 59 of file abcdvol.hpp.
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private |
Definition at line 59 of file abcdvol.hpp.
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private |
Definition at line 59 of file abcdvol.hpp.
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private |
Definition at line 60 of file abcdvol.hpp.
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private |
Definition at line 61 of file abcdvol.hpp.
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private |
Definition at line 62 of file abcdvol.hpp.
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private |
Definition at line 63 of file abcdvol.hpp.