QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Abcd functional form for instantaneous volatility More...
#include <abcd.hpp>
Public Member Functions | |
AbcdFunction (Real a=-0.06, Real b=0.17, Real c=0.54, Real d=0.17) | |
Real | maximumVolatility () const |
maximum value of the volatility function More... | |
Real | shortTermVolatility () const |
volatility function value at time 0: More... | |
Real | longTermVolatility () const |
volatility function value at time +inf: More... | |
Real | covariance (Time t, Time T, Time S) const |
Real | covariance (Time t1, Time t2, Time T, Time S) const |
Real | volatility (Time tMin, Time tMax, Time T) const |
Real | variance (Time tMin, Time tMax, Time T) const |
Real | instantaneousVolatility (Time t, Time T) const |
Real | instantaneousVariance (Time t, Time T) const |
Real | instantaneousCovariance (Time u, Time T, Time S) const |
Real | primitive (Time t, Time T, Time S) const |
Public Member Functions inherited from AbcdMathFunction | |
AbcdMathFunction (Real a=0.002, Real b=0.001, Real c=0.16, Real d=0.0005) | |
AbcdMathFunction (std::vector< Real > abcd) | |
Real | operator() (Time t) const |
function value at time t: More... | |
Time | maximumLocation () const |
time at which the function reaches maximum (if any) More... | |
Real | maximumValue () const |
maximum value of the function More... | |
Real | longTermValue () const |
function value at time +inf: More... | |
Real | derivative (Time t) const |
Real | primitive (Time t) const |
Real | definiteIntegral (Time t1, Time t2) const |
Real | a () const |
Real | b () const |
Real | c () const |
Real | d () const |
const std::vector< Real > & | coefficients () |
const std::vector< Real > & | derivativeCoefficients () |
std::vector< Real > | definiteIntegralCoefficients (Time t, Time t2) const |
std::vector< Real > | definiteDerivativeCoefficients (Time t, Time t2) const |
Additional Inherited Members | |
Static Public Member Functions inherited from AbcdMathFunction | |
static void | validate (Real a, Real b, Real c, Real d) |
Protected Attributes inherited from AbcdMathFunction | |
Real | a_ |
Real | b_ |
Real | c_ |
Real | d_ |
Abcd functional form for instantaneous volatility
\[ f(T-t) = [ a + b(T-t) ] e^{-c(T-t)} + d \]
following Rebonato's notation.
AbcdFunction | ( | Real | a = -0.06 , |
Real | b = 0.17 , |
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Real | c = 0.54 , |
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Real | d = 0.17 |
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Real maximumVolatility | ( | ) | const |
Real shortTermVolatility | ( | ) | const |
Real longTermVolatility | ( | ) | const |