PiecewiseConstantAbcdVariance Class Reference

#include <ql/models/marketmodels/models/piecewiseconstantabcdvariance.hpp>

Inheritance diagram for PiecewiseConstantAbcdVariance:

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Public Member Functions
	PiecewiseConstantAbcdVariance (Real a, Real b, Real c, Real d, Size resetIndex, const std::vector< Time > &rateTimes)
const std::vector< Real > &	variances () const override
const std::vector< Real > &	volatilities () const override
const std::vector< Time > &	rateTimes () const override
void	getABCD (Real &a, Real &b, Real &c, Real &d) const
Public Member Functions inherited from PiecewiseConstantVariance
virtual	~PiecewiseConstantVariance ()=default
virtual const std::vector< Real > &	variances () const =0
virtual const std::vector< Volatility > &	volatilities () const =0
virtual const std::vector< Time > &	rateTimes () const =0
Real	variance (Size i) const
Volatility	volatility (Size i) const
Real	totalVariance (Size i) const
Volatility	totalVolatility (Size i) const

Private Attributes
std::vector< Real >	variances_
std::vector< Real >	volatilities_
std::vector< Time >	rateTimes_
Real	a_
Real	b_
Real	c_
Real	d_

Detailed Description

Definition at line 30 of file piecewiseconstantabcdvariance.hpp.

Constructor & Destructor Documentation

PiecewiseConstantAbcdVariance()

PiecewiseConstantAbcdVariance	(	Real	a,
		Real	b,
		Real	c,
		Real	d,
		Size	resetIndex,
		const std::vector< Time > &	rateTimes
	)

Definition at line 27 of file piecewiseconstantabcdvariance.cpp.

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Member Function Documentation

variances()

const std::vector< Real > & variances ( ) const

overridevirtual

Implements PiecewiseConstantVariance.

Definition at line 71 of file piecewiseconstantabcdvariance.cpp.

volatilities()

const std::vector< Real > & volatilities ( ) const

overridevirtual

Implements PiecewiseConstantVariance.

Definition at line 76 of file piecewiseconstantabcdvariance.cpp.

rateTimes()

const std::vector< Real > & rateTimes ( ) const

overridevirtual

Implements PiecewiseConstantVariance.

Definition at line 67 of file piecewiseconstantabcdvariance.cpp.

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getABCD()

void getABCD	(	Real &	a,
		Real &	b,
		Real &	c,
		Real &	d
	)		const

Definition at line 59 of file piecewiseconstantabcdvariance.cpp.

Member Data Documentation

variances_

std::vector<Real> variances_

private

Definition at line 40 of file piecewiseconstantabcdvariance.hpp.

volatilities_

std::vector<Real> volatilities_

private

Definition at line 41 of file piecewiseconstantabcdvariance.hpp.

rateTimes_

std::vector<Time> rateTimes_

private

Definition at line 42 of file piecewiseconstantabcdvariance.hpp.

a_

Real a_

private

Definition at line 43 of file piecewiseconstantabcdvariance.hpp.

b_

Real b_

private

Definition at line 44 of file piecewiseconstantabcdvariance.hpp.

c_

Real c_

private

Definition at line 45 of file piecewiseconstantabcdvariance.hpp.

d_

Real d_

private

Definition at line 46 of file piecewiseconstantabcdvariance.hpp.