FlatVolFactory Class Reference

#include <flatvol.hpp>

Inheritance diagram for FlatVolFactory:

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Public Member Functions
	FlatVolFactory (Real longTermCorrelation, Real beta, std::vector< Time > times, std::vector< Volatility > vols, Handle< YieldTermStructure > yieldCurve, Spread displacement)
ext::shared_ptr< MarketModel >	create (const EvolutionDescription &, Size numberOfFactors) const override
void	update () override
Public Member Functions inherited from MarketModelFactory
	~MarketModelFactory () override=default
virtual ext::shared_ptr< MarketModel >	create (const EvolutionDescription &, Size numberOfFactors) const =0
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()

Private Attributes
Real	longTermCorrelation_
Real	beta_
std::vector< Time >	times_
std::vector< Volatility >	vols_
Interpolation	volatility_
Handle< YieldTermStructure >	yieldCurve_
Spread	displacement_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Definition at line 66 of file flatvol.hpp.

Constructor & Destructor Documentation

FlatVolFactory()

FlatVolFactory	(	Real	longTermCorrelation,
		Real	beta,
		std::vector< Time >	times,
		std::vector< Volatility >	vols,
		Handle< YieldTermStructure >	yieldCurve,
		Spread	displacement
	)

Definition at line 150 of file flatvol.cpp.

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Member Function Documentation

create()

ext::shared_ptr< MarketModel > create ( const EvolutionDescription &  evolution, Size  numberOfFactors  ) const

overridevirtual

Implements MarketModelFactory.

Definition at line 165 of file flatvol.cpp.

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update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Definition at line 201 of file flatvol.cpp.

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Member Data Documentation

longTermCorrelation_

Real longTermCorrelation_

private

Definition at line 86 of file flatvol.hpp.

beta_

Real beta_

private

Definition at line 86 of file flatvol.hpp.

times_

std::vector<Time> times_

private

Definition at line 88 of file flatvol.hpp.

vols_

std::vector<Volatility> vols_

private

Definition at line 89 of file flatvol.hpp.

volatility_

Interpolation volatility_

private

Definition at line 90 of file flatvol.hpp.

yieldCurve_

Handle<YieldTermStructure> yieldCurve_

private

Definition at line 92 of file flatvol.hpp.

displacement_

Spread displacement_

private

Definition at line 93 of file flatvol.hpp.