QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
marketmodeldifferences.hpp
Go to the documentation of this file.
1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007 François du Vignaud
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20
21#ifndef quantlib_market_model_differences_hpp
22#define quantlib_market_model_differences_hpp
23
24#include <ql/types.hpp>
25#include <ql/shared_ptr.hpp>
26#include <vector>
27
28namespace QuantLib {
29 class MarketModel;
30 class PiecewiseConstantCorrelation;
31 class PiecewiseConstantVariance;
32
33 std::vector<Volatility> rateVolDifferences(
34 const MarketModel& marketModel1,
35 const MarketModel& marketModel2);
36
37 std::vector<Spread> rateInstVolDifferences(
38 const MarketModel& marketModel1,
39 const MarketModel& marketModel2,
40 Size index);
41
42 std::vector<Real> coterminalSwapPseudoRoots(
44 const std::vector<ext::shared_ptr<PiecewiseConstantVariance> >&,
45 const std::vector<Time>&);
46}
47
48#endif
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
std::vector< Matrix > coterminalSwapPseudoRoots(const PiecewiseConstantCorrelation &piecewiseConstantCorrelation, const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &piecewiseConstantVariances)
std::vector< Spread > rateInstVolDifferences(const MarketModel &marketModel1, const MarketModel &marketModel2, Size index)
std::vector< Volatility > rateVolDifferences(const MarketModel &marketModel1, const MarketModel &marketModel2)
Maps shared_ptr to either the boost or std implementation.
Custom types.