QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Member Functions | Private Attributes | List of all members
D0Interpolator Class Reference

#include <noarbsabr.hpp>

+ Collaboration diagram for D0Interpolator:

Public Member Functions

 D0Interpolator (Real forward, Real expiryTime, Real alpha, Real beta, Real nu, Real rho)
 
Real operator() () const
 

Private Member Functions

Real phi (Real d0) const
 
Real d0 (Real phi) const
 

Private Attributes

const Real forward_
 
const Real expiryTime_
 
const Real alpha_
 
const Real beta_
 
const Real nu_
 
const Real rho_
 
const Real gamma_
 
Real sigmaI_
 
std::vector< RealtauG_
 
std::vector< RealsigmaIG_
 
std::vector< RealrhoG_
 
std::vector< RealnuG_
 
std::vector< RealbetaG_
 

Detailed Description

Definition at line 140 of file noarbsabr.hpp.

Constructor & Destructor Documentation

◆ D0Interpolator()

D0Interpolator ( Real  forward,
Real  expiryTime,
Real  alpha,
Real  beta,
Real  nu,
Real  rho 
)

Definition at line 186 of file noarbsabr.cpp.

Member Function Documentation

◆ operator()()

Real operator() ( ) const

Definition at line 220 of file noarbsabr.cpp.

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◆ phi()

Real phi ( Real  d0) const
private

Definition at line 321 of file noarbsabr.cpp.

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◆ d0()

Real d0 ( Real  phi) const
private

Definition at line 327 of file noarbsabr.cpp.

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Member Data Documentation

◆ forward_

const Real forward_
private

Definition at line 148 of file noarbsabr.hpp.

◆ expiryTime_

const Real expiryTime_
private

Definition at line 148 of file noarbsabr.hpp.

◆ alpha_

const Real alpha_
private

Definition at line 148 of file noarbsabr.hpp.

◆ beta_

const Real beta_
private

Definition at line 148 of file noarbsabr.hpp.

◆ nu_

const Real nu_
private

Definition at line 148 of file noarbsabr.hpp.

◆ rho_

const Real rho_
private

Definition at line 148 of file noarbsabr.hpp.

◆ gamma_

const Real gamma_
private

Definition at line 148 of file noarbsabr.hpp.

◆ sigmaI_

Real sigmaI_
private

Definition at line 149 of file noarbsabr.hpp.

◆ tauG_

std::vector<Real> tauG_
private

Definition at line 150 of file noarbsabr.hpp.

◆ sigmaIG_

std::vector<Real> sigmaIG_
private

Definition at line 150 of file noarbsabr.hpp.

◆ rhoG_

std::vector<Real> rhoG_
private

Definition at line 150 of file noarbsabr.hpp.

◆ nuG_

std::vector<Real> nuG_
private

Definition at line 150 of file noarbsabr.hpp.

◆ betaG_

std::vector<Real> betaG_
private

Definition at line 150 of file noarbsabr.hpp.