AbcdMathFunction Class Reference

Abcd functional form More...

#include <ql/math/abcdmathfunction.hpp>

Inheritance diagram for AbcdMathFunction:

Collaboration diagram for AbcdMathFunction:

Public Member Functions
	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

Static Public Member Functions
static void	validate (Real a, Real b, Real c, Real d)

Public Attributes
QL_DEPRECATED typedef Time	argument_type
QL_DEPRECATED typedef Real	result_type

Protected Attributes
Real	a_
Real	b_
Real	c_
Real	d_

Private Member Functions
void	initialize_ ()

Private Attributes
std::vector< Real >	abcd_
std::vector< Real >	dabcd_
Real	da_
Real	db_
Real	pa_
Real	pb_
Real	K_
Real	dibc_
Real	diacplusbcc_

Detailed Description

Abcd functional form

\[ f(t) = [ a + b*t ] e^{-c*t} + d \]

following Rebonato's notation.

Definition at line 35 of file abcdmathfunction.hpp.

Constructor & Destructor Documentation

AbcdMathFunction() [1/2]

AbcdMathFunction	(	Real	a = 0.002,
		Real	b = 0.001,
		Real	c = 0.16,
		Real	d = 0.0005
	)

Definition at line 71 of file abcdmathfunction.cpp.

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AbcdMathFunction() [2/2]

AbcdMathFunction

(

std::vector< Real >

abcd

)

Definition at line 80 of file abcdmathfunction.cpp.

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Member Function Documentation

operator()()

Real operator()

(

Time

t

)

const

function value at time t:

\[ f(t) \]

Definition at line 116 of file abcdmathfunction.hpp.

maximumLocation()

Time maximumLocation

(

)

const

time at which the function reaches maximum (if any)

Definition at line 88 of file abcdmathfunction.cpp.

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maximumValue()

Real maximumValue

(

)

const

maximum value of the function

Definition at line 131 of file abcdmathfunction.hpp.

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longTermValue()

Real longTermValue

(

)

const

function value at time +inf:

\[ f(\inf) \]

Definition at line 66 of file abcdmathfunction.hpp.

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derivative()

Real derivative

(

Time

t

)

const

first derivative of the function at time t

\[ f'(t) = [ (b-c*a) + (-c*b)*t) ] e^{-c*t} \]

Definition at line 121 of file abcdmathfunction.hpp.

primitive()

Real primitive

(

Time

t

)

const

indefinite integral of the function at time t

\[ \int f(t)dt = [ (-a/c-b/c^2) + (-b/c)*t ] e^{-c*t} + d*t \]

Definition at line 126 of file abcdmathfunction.hpp.

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definiteIntegral()

Real definiteIntegral	(	Time	t1,
		Time	t2
	)		const

definite integral of the function between t1 and t2

\[ \int_{t1}^{t2} f(t)dt \]

Definition at line 103 of file abcdmathfunction.cpp.

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a()

Real a

(

)

const

Inspectors

Definition at line 81 of file abcdmathfunction.hpp.

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b()

Real b

(

)

const

Definition at line 82 of file abcdmathfunction.hpp.

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c()

Real c

(

)

const

Definition at line 83 of file abcdmathfunction.hpp.

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d()

Real d

(

)

const

Definition at line 84 of file abcdmathfunction.hpp.

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coefficients()

const std::vector< Real > & coefficients

(

)

Definition at line 85 of file abcdmathfunction.hpp.

derivativeCoefficients()

const std::vector< Real > & derivativeCoefficients

(

)

Definition at line 86 of file abcdmathfunction.hpp.

definiteIntegralCoefficients()

std::vector< Real > definiteIntegralCoefficients	(	Time	t,
		Time	t2
	)		const

coefficients of a AbcdMathFunction defined as definite integral on a rolling window of length tau, with tau = t2-t

Definition at line 109 of file abcdmathfunction.cpp.

definiteDerivativeCoefficients()

std::vector< Real > definiteDerivativeCoefficients	(	Time	t,
		Time	t2
	)		const

coefficients of a AbcdMathFunction defined as definite derivative on a rolling window of length tau, with tau = t2-t

Definition at line 122 of file abcdmathfunction.cpp.

validate()

void validate ( Real  a, Real  b, Real  c, Real  d  )

static

Definition at line 29 of file abcdmathfunction.cpp.

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initialize_()

void initialize_ ( )

private

Definition at line 54 of file abcdmathfunction.cpp.

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Member Data Documentation

argument_type

QL_DEPRECATED typedef Time argument_type

Deprecated:

Use auto or decltype instead. Deprecated in version 1.29.

Definition at line 42 of file abcdmathfunction.hpp.

result_type

QL_DEPRECATED typedef Real result_type

Deprecated:

Use auto or decltype instead. Deprecated in version 1.29.

Definition at line 48 of file abcdmathfunction.hpp.

a_

Real a_

protected

Definition at line 104 of file abcdmathfunction.hpp.

b_

Real b_

protected

Definition at line 104 of file abcdmathfunction.hpp.

c_

Real c_

protected

Definition at line 104 of file abcdmathfunction.hpp.

d_

Real d_

protected

Definition at line 104 of file abcdmathfunction.hpp.

abcd_

std::vector<Real> abcd_

private

Definition at line 107 of file abcdmathfunction.hpp.

dabcd_

std::vector<Real> dabcd_

private

Definition at line 108 of file abcdmathfunction.hpp.

da_

Real da_

private

Definition at line 109 of file abcdmathfunction.hpp.

db_

Real db_

private

Definition at line 109 of file abcdmathfunction.hpp.

pa_

Real pa_

private

Definition at line 110 of file abcdmathfunction.hpp.

pb_

Real pb_

private

Definition at line 110 of file abcdmathfunction.hpp.

K_

Real K_

private

Definition at line 110 of file abcdmathfunction.hpp.

dibc_

Real dibc_

private

Definition at line 112 of file abcdmathfunction.hpp.

diacplusbcc_

Real diacplusbcc_

private

Definition at line 112 of file abcdmathfunction.hpp.