QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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piecewiseconstantvariance.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007 Ferdinando Ametrano
5 Copyright (C) 2007 Mark Joshi
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21
23#include <ql/errors.hpp>
24#include <numeric>
25
26namespace QuantLib {
27
29 QL_REQUIRE(i<variances().size(),
30 "invalid step index");
31 return variances()[i];
32 }
33
35 QL_REQUIRE(i<volatilities().size(),
36 "invalid step index");
37 return volatilities()[i];
38 }
39
41 QL_REQUIRE(i<variances().size(),
42 "invalid step index");
43 return std::accumulate(variances().begin(),
44 variances().begin()+i+1, Real(0.0));
45 }
46
48 return std::sqrt(totalVariance(i)/rateTimes()[i]);
49 }
50
51}
virtual const std::vector< Volatility > & volatilities() const =0
virtual const std::vector< Real > & variances() const =0
virtual const std::vector< Time > & rateTimes() const =0
Classes and functions for error handling.
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Definition: errors.hpp:117
QL_REAL Real
real number
Definition: types.hpp:50
Real Volatility
volatility
Definition: types.hpp:78
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35