QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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piecewiseconstantabcdvariance.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_abcd_variance_hpp
23#define quantlib_piecewise_const_abcd_variance_hpp
24
27
28namespace QuantLib {
29
31 public:
33 Size resetIndex,
34 const std::vector<Time>& rateTimes);
35 const std::vector<Real>& variances() const override;
36 const std::vector<Real>& volatilities() const override;
37 const std::vector<Time>& rateTimes() const override;
38 void getABCD(Real& a, Real& b, Real& c, Real& d) const;
39 private:
40 std::vector<Real> variances_;
41 std::vector<Real> volatilities_;
42 std::vector<Time> rateTimes_;
47
48 };
49
50}
51
52#endif
const std::vector< Real > & variances() const override
const std::vector< Time > & rateTimes() const override
const std::vector< Real > & volatilities() const override
void getABCD(Real &a, Real &b, Real &c, Real &d) const
Date d
ext::function< Real(Real)> b
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35