QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | List of all members
FlatVol Class Reference

#include <flatvol.hpp>

+ Inheritance diagram for FlatVol:
+ Collaboration diagram for FlatVol:

Public Member Functions

 FlatVol (const std::vector< Volatility > &volatilities, 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 EvolutionDescriptionevolution () const =0
 
virtual Size numberOfRates () const =0
 
virtual Size numberOfFactors () const =0
 
virtual Size numberOfSteps () const =0
 
virtual const MatrixpseudoRoot (Size i) const =0
 
virtual const Matrixcovariance (Size i) const
 
virtual const MatrixtotalCovariance (Size endIndex) const
 
std::vector< VolatilitytimeDependentVolatility (Size i) const
 

MarketModel interface

Size numberOfFactors_
 
Size numberOfRates_
 
Size numberOfSteps_
 
std::vector< RateinitialRates_
 
std::vector< Spreaddisplacements_
 
EvolutionDescription evolution_
 
std::vector< MatrixpseudoRoots_
 
const std::vector< Rate > & initialRates () const override
 
const std::vector< Spread > & displacements () const override
 
const EvolutionDescriptionevolution () const override
 
Size numberOfRates () const override
 
Size numberOfFactors () const override
 
Size numberOfSteps () const override
 
const MatrixpseudoRoot (Size i) const override
 

Detailed Description

Examples
MarketModels.cpp.

Definition at line 39 of file flatvol.hpp.

Constructor & Destructor Documentation

◆ FlatVol()

FlatVol ( const std::vector< Volatility > &  volatilities,
const ext::shared_ptr< PiecewiseConstantCorrelation > &  corr,
const EvolutionDescription evolution,
Size  numberOfFactors,
const std::vector< Rate > &  initialRates,
const std::vector< Spread > &  displacements 
)

Definition at line 49 of file flatvol.cpp.

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Member Function Documentation

◆ initialRates()

const std::vector< Rate > & initialRates ( ) const
overridevirtual

Implements MarketModel.

Definition at line 99 of file flatvol.hpp.

◆ displacements()

const std::vector< Spread > & displacements ( ) const
overridevirtual

Implements MarketModel.

Definition at line 103 of file flatvol.hpp.

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◆ evolution()

const EvolutionDescription & evolution ( ) const
overridevirtual

Implements MarketModel.

Definition at line 107 of file flatvol.hpp.

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◆ numberOfRates()

Size numberOfRates ( ) const
overridevirtual

Implements MarketModel.

Definition at line 111 of file flatvol.hpp.

◆ numberOfFactors()

Size numberOfFactors ( ) const
overridevirtual

Implements MarketModel.

Definition at line 115 of file flatvol.hpp.

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◆ numberOfSteps()

Size numberOfSteps ( ) const
overridevirtual

Implements MarketModel.

Definition at line 119 of file flatvol.hpp.

◆ pseudoRoot()

const Matrix & pseudoRoot ( Size  i) const
overridevirtual

Implements MarketModel.

Definition at line 123 of file flatvol.hpp.

Member Data Documentation

◆ numberOfFactors_

Size numberOfFactors_
private

Definition at line 59 of file flatvol.hpp.

◆ numberOfRates_

Size numberOfRates_
private

Definition at line 59 of file flatvol.hpp.

◆ numberOfSteps_

Size numberOfSteps_
private

Definition at line 59 of file flatvol.hpp.

◆ initialRates_

std::vector<Rate> initialRates_
private

Definition at line 60 of file flatvol.hpp.

◆ displacements_

std::vector<Spread> displacements_
private

Definition at line 61 of file flatvol.hpp.

◆ evolution_

EvolutionDescription evolution_
private

Definition at line 62 of file flatvol.hpp.

◆ pseudoRoots_

std::vector<Matrix> pseudoRoots_
private

Definition at line 63 of file flatvol.hpp.