QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
models
marketmodels
models
piecewiseconstantabcdvariance.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2007 Ferdinando Ametrano
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Copyright (C) 2007 Mark Joshi
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_piecewise_const_abcd_variance_hpp
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#define quantlib_piecewise_const_abcd_variance_hpp
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#include <
ql/models/marketmodels/models/piecewiseconstantvariance.hpp
>
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#include <
ql/models/marketmodels/evolutiondescription.hpp
>
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namespace
QuantLib
{
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class
PiecewiseConstantAbcdVariance
:
public
PiecewiseConstantVariance
{
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public
:
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PiecewiseConstantAbcdVariance
(
Real
a,
Real
b
,
Real
c,
Real
d
,
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Size
resetIndex,
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const
std::vector<Time>&
rateTimes
);
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const
std::vector<Real>&
variances
()
const override
;
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const
std::vector<Real>&
volatilities
()
const override
;
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const
std::vector<Time>&
rateTimes
()
const override
;
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void
getABCD
(
Real
& a,
Real
&
b
,
Real
& c,
Real
&
d
)
const
;
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private
:
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std::vector<Real>
variances_
;
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std::vector<Real>
volatilities_
;
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std::vector<Time>
rateTimes_
;
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Real
a_
;
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Real
b_
;
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Real
c_
;
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Real
d_
;
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};
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}
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#endif
QuantLib::PiecewiseConstantAbcdVariance
Definition:
piecewiseconstantabcdvariance.hpp:30
QuantLib::PiecewiseConstantAbcdVariance::c_
Real c_
Definition:
piecewiseconstantabcdvariance.hpp:45
QuantLib::PiecewiseConstantAbcdVariance::b_
Real b_
Definition:
piecewiseconstantabcdvariance.hpp:44
QuantLib::PiecewiseConstantAbcdVariance::a_
Real a_
Definition:
piecewiseconstantabcdvariance.hpp:43
QuantLib::PiecewiseConstantAbcdVariance::d_
Real d_
Definition:
piecewiseconstantabcdvariance.hpp:46
QuantLib::PiecewiseConstantAbcdVariance::variances
const std::vector< Real > & variances() const override
Definition:
piecewiseconstantabcdvariance.cpp:71
QuantLib::PiecewiseConstantAbcdVariance::rateTimes
const std::vector< Time > & rateTimes() const override
Definition:
piecewiseconstantabcdvariance.cpp:67
QuantLib::PiecewiseConstantAbcdVariance::variances_
std::vector< Real > variances_
Definition:
piecewiseconstantabcdvariance.hpp:40
QuantLib::PiecewiseConstantAbcdVariance::rateTimes_
std::vector< Time > rateTimes_
Definition:
piecewiseconstantabcdvariance.hpp:42
QuantLib::PiecewiseConstantAbcdVariance::volatilities_
std::vector< Real > volatilities_
Definition:
piecewiseconstantabcdvariance.hpp:41
QuantLib::PiecewiseConstantAbcdVariance::volatilities
const std::vector< Real > & volatilities() const override
Definition:
piecewiseconstantabcdvariance.cpp:76
QuantLib::PiecewiseConstantAbcdVariance::getABCD
void getABCD(Real &a, Real &b, Real &c, Real &d) const
Definition:
piecewiseconstantabcdvariance.cpp:59
QuantLib::PiecewiseConstantVariance
Definition:
piecewiseconstantvariance.hpp:33
evolutiondescription.hpp
d
Date d
Definition:
exchangeratemanager.cpp:32
b
ext::function< Real(Real)> b
Definition:
extendedornsteinuhlenbeckprocess.cpp:30
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
piecewiseconstantvariance.hpp
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