QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Cubic functional form More...
#include <polynomialmathfunction.hpp>
Public Member Functions | |
PolynomialFunction (const std::vector< Real > &coeff) | |
Real | operator() (Time t) const |
function value at time t: More... | |
Real | derivative (Time t) const |
Real | primitive (Time t) const |
Real | definiteIntegral (Time t1, Time t2) const |
Size | order () const |
const std::vector< Real > & | coefficients () |
const std::vector< Real > & | derivativeCoefficients () |
const std::vector< Real > & | primitiveCoefficients () |
std::vector< Real > | definiteIntegralCoefficients (Time t, Time t2) const |
std::vector< Real > | definiteDerivativeCoefficients (Time t, Time t2) const |
Private Member Functions | |
void | initializeEqs_ (Time t, Time t2) const |
Private Attributes | |
Size | order_ |
std::vector< Real > | c_ |
std::vector< Real > | derC_ |
std::vector< Real > | prC_ |
Real | K_ |
Matrix | eqs_ |
Cubic functional form
\[ f(t) = \sum_{i=0}^n{c_i t^i} \]
Definition at line 32 of file polynomialmathfunction.hpp.
PolynomialFunction | ( | const std::vector< Real > & | coeff | ) |
Definition at line 26 of file polynomialmathfunction.cpp.
function value at time t:
\[ f(t) = \sum_{i=0}^n{c_i t^i} \]
Definition at line 44 of file polynomialmathfunction.cpp.
first derivative of the function at time t
\[ f'(t) = \sum_{i=0}^{n-1}{(i+1) c_{i+1} t^i} \]
Definition at line 53 of file polynomialmathfunction.cpp.
indefinite integral of the function at time t
\[ \int f(t)dt = \sum_{i=0}^n{c_i t^{i+1} / (i+1)} + K \]
Definition at line 62 of file polynomialmathfunction.cpp.
definite integral of the function between t1 and t2
\[ \int_{t1}^{t2} f(t)dt \]
Definition at line 71 of file polynomialmathfunction.cpp.
Size order | ( | ) | const |
Inspectors
Definition at line 54 of file polynomialmathfunction.hpp.
const std::vector< Real > & coefficients | ( | ) |
Definition at line 55 of file polynomialmathfunction.hpp.
const std::vector< Real > & derivativeCoefficients | ( | ) |
Definition at line 56 of file polynomialmathfunction.hpp.
const std::vector< Real > & primitiveCoefficients | ( | ) |
Definition at line 57 of file polynomialmathfunction.hpp.
coefficients of a PolynomialFunction defined as definite integral on a rolling window of length tau, with tau = t2-t
Definition at line 90 of file polynomialmathfunction.cpp.
coefficients of a PolynomialFunction defined as definite derivative on a rolling window of length tau, with tau = t2-t
Definition at line 100 of file polynomialmathfunction.cpp.
Definition at line 76 of file polynomialmathfunction.cpp.
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private |
Definition at line 70 of file polynomialmathfunction.hpp.
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private |
Definition at line 71 of file polynomialmathfunction.hpp.
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private |
Definition at line 71 of file polynomialmathfunction.hpp.
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private |
Definition at line 71 of file polynomialmathfunction.hpp.
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private |
Definition at line 72 of file polynomialmathfunction.hpp.
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mutableprivate |
Definition at line 73 of file polynomialmathfunction.hpp.