QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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ql
models
marketmodels
models
piecewiseconstantvariance.cpp
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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 Ferdinando Ametrano
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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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#include <ql/models/marketmodels/models/piecewiseconstantvariance.hpp>
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#include <ql/errors.hpp>
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#include <numeric>
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namespace
QuantLib
{
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Real
PiecewiseConstantVariance::variance
(
Size
i)
const
{
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QL_REQUIRE(i<
variances
().size(),
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"invalid step index"
);
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return
variances
()[i];
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}
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Volatility
PiecewiseConstantVariance::volatility
(
Size
i)
const
{
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QL_REQUIRE(i<
volatilities
().size(),
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"invalid step index"
);
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return
volatilities
()[i];
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}
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Real
PiecewiseConstantVariance::totalVariance
(
Size
i)
const
{
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QL_REQUIRE(i<
variances
().size(),
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"invalid step index"
);
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return
std::accumulate(
variances
().begin(),
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variances
().begin()+i+1,
Real
(0.0));
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}
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Volatility
PiecewiseConstantVariance::totalVolatility
(
Size
i)
const
{
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return
std::sqrt(
totalVariance
(i)/
rateTimes
()[i]);
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}
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}
QuantLib::PiecewiseConstantVariance::volatilities
virtual const std::vector< Volatility > & volatilities() const =0
QuantLib::PiecewiseConstantVariance::totalVariance
Real totalVariance(Size i) const
Definition:
piecewiseconstantvariance.cpp:40
QuantLib::PiecewiseConstantVariance::variance
Real variance(Size i) const
Definition:
piecewiseconstantvariance.cpp:28
QuantLib::PiecewiseConstantVariance::volatility
Volatility volatility(Size i) const
Definition:
piecewiseconstantvariance.cpp:34
QuantLib::PiecewiseConstantVariance::totalVolatility
Volatility totalVolatility(Size i) const
Definition:
piecewiseconstantvariance.cpp:47
QuantLib::PiecewiseConstantVariance::variances
virtual const std::vector< Real > & variances() const =0
QuantLib::PiecewiseConstantVariance::rateTimes
virtual const std::vector< Time > & rateTimes() const =0
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib::Volatility
Real Volatility
volatility
Definition:
types.hpp:78
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
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