#include <ql/math/interpolations/xabrinterpolation.hpp>

Inheritance diagram for XABRCoeffHolder< Model >:

Collaboration diagram for XABRCoeffHolder< Model >:

Public Member Functions
	XABRCoeffHolder (const Time t, const Real &forward, const std::vector< Real > &params, const std::vector< bool > &paramIsFixed, std::vector< Real > addParams)

virtual	~XABRCoeffHolder ()=default

void	updateModelInstance ()

Public Attributes
Real	t_

const Real &	forward_

std::vector< Real >	params_

std::vector< bool >	paramIsFixed_

std::vector< Real >	weights_

Real	error_

Real	maxError_

EndCriteria::Type	XABREndCriteria_ = EndCriteria::None

ext::shared_ptr< typename Model::type >	modelInstance_

std::vector< Real >	addParams_

Detailed Description

template<typename Model>
class QuantLib::detail::XABRCoeffHolder< Model >

Definition at line 52 of file xabrinterpolation.hpp.

Constructor & Destructor Documentation

◆ XABRCoeffHolder()

XABRCoeffHolder	(	const Time	t,
		const Real &	forward,
		const std::vector< Real > &	params,
		const std::vector< bool > &	paramIsFixed,
		std::vector< Real >	addParams
	)

Definition at line 54 of file xabrinterpolation.hpp.

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◆ ~XABRCoeffHolder()

virtual ~XABRCoeffHolder ( )

virtualdefault

Member Function Documentation

◆ updateModelInstance()

void updateModelInstance ( )

Definition at line 81 of file xabrinterpolation.hpp.

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Member Data Documentation

◆ t_

Real t_

Expiry, Forward

Definition at line 86 of file xabrinterpolation.hpp.

◆ forward_

const Real& forward_

Definition at line 87 of file xabrinterpolation.hpp.

◆ params_

std::vector<Real> params_

Parameters

Definition at line 89 of file xabrinterpolation.hpp.

◆ paramIsFixed_

std::vector<bool> paramIsFixed_

Definition at line 90 of file xabrinterpolation.hpp.

◆ weights_

std::vector<Real> weights_

Definition at line 91 of file xabrinterpolation.hpp.

◆ error_

Real error_

Interpolation results

Definition at line 93 of file xabrinterpolation.hpp.

◆ maxError_

Real maxError_

Definition at line 93 of file xabrinterpolation.hpp.

◆ XABREndCriteria_

EndCriteria::Type XABREndCriteria_ = EndCriteria::None

Definition at line 94 of file xabrinterpolation.hpp.

◆ modelInstance_

ext::shared_ptr<typename Model::type> modelInstance_

Model instance (if required)

Definition at line 96 of file xabrinterpolation.hpp.

◆ addParams_

std::vector<Real> addParams_

additional parameters

Definition at line 98 of file xabrinterpolation.hpp.

Public Member Functions

Public Attributes