QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
models
marketmodels
models
alphaformconcrete.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 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_alpha_form_concrete_hpp
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#define quantlib_alpha_form_concrete_hpp
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#include <
ql/models/marketmodels/models/alphaform.hpp
>
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#include <vector>
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namespace
QuantLib
{
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class
AlphaFormInverseLinear
:
public
AlphaForm
{
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public
:
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AlphaFormInverseLinear
(std::vector<Time> times,
Real
alpha
= 0.0);
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~AlphaFormInverseLinear
()
override
=
default
;
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Real
operator()
(
Integer
i)
const override
;
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void
setAlpha
(
Real
alpha_
)
override
;
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private
:
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std::vector<Time>
times_
;
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Real
alpha_
;
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};
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class
AlphaFormLinearHyperbolic
:
public
AlphaForm
{
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public
:
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AlphaFormLinearHyperbolic
(std::vector<Time> times,
Real
alpha
= 0.0);
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~AlphaFormLinearHyperbolic
()
override
=
default
;
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Real
operator()
(
Integer
i)
const override
;
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void
setAlpha
(
Real
alpha_
)
override
;
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private
:
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std::vector<Time>
times_
;
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Real
alpha_
;
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};
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}
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#endif
alphaform.hpp
QuantLib::AlphaForm
Definition:
alphaform.hpp:27
QuantLib::AlphaFormInverseLinear
Definition:
alphaformconcrete.hpp:28
QuantLib::AlphaFormInverseLinear::~AlphaFormInverseLinear
~AlphaFormInverseLinear() override=default
QuantLib::AlphaFormInverseLinear::setAlpha
void setAlpha(Real alpha_) override
Definition:
alphaformconcrete.cpp:33
QuantLib::AlphaFormInverseLinear::times_
std::vector< Time > times_
Definition:
alphaformconcrete.hpp:36
QuantLib::AlphaFormInverseLinear::operator()
Real operator()(Integer i) const override
Definition:
alphaformconcrete.cpp:29
QuantLib::AlphaFormInverseLinear::alpha_
Real alpha_
Definition:
alphaformconcrete.hpp:37
QuantLib::AlphaFormLinearHyperbolic
Definition:
alphaformconcrete.hpp:40
QuantLib::AlphaFormLinearHyperbolic::setAlpha
void setAlpha(Real alpha_) override
Definition:
alphaformconcrete.cpp:50
QuantLib::AlphaFormLinearHyperbolic::times_
std::vector< Time > times_
Definition:
alphaformconcrete.hpp:48
QuantLib::AlphaFormLinearHyperbolic::operator()
Real operator()(Integer i) const override
Definition:
alphaformconcrete.cpp:41
QuantLib::AlphaFormLinearHyperbolic::alpha_
Real alpha_
Definition:
alphaformconcrete.hpp:49
QuantLib::AlphaFormLinearHyperbolic::~AlphaFormLinearHyperbolic
~AlphaFormLinearHyperbolic() override=default
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib::Integer
QL_INTEGER Integer
integer number
Definition:
types.hpp:35
QuantLib
Definition:
any.hpp:35
alpha
Real alpha
Definition:
sabr.cpp:200
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