#include <pseudorootfacade.hpp>
Inheritance diagram for PseudoRootFacade:
Collaboration diagram for PseudoRootFacade:
Public Member Functions | |
| PseudoRootFacade (const ext::shared_ptr< CTSMMCapletCalibration > &calibrator) | |
| PseudoRootFacade (const std::vector< Matrix > &covariancePseudoRoots, const std::vector< Rate > &rateTimes, std::vector< Rate > initialRates, const std::vector< Spread > &displacements) | |
| Public Member Functions inherited from MarketModel | |
| virtual | ~MarketModel ()=default |
| virtual const std::vector< Rate > & | initialRates () const =0 |
| virtual const std::vector< Spread > & | displacements () const =0 |
| virtual const EvolutionDescription & | evolution () const =0 |
| virtual Size | numberOfRates () const =0 |
| virtual Size | numberOfFactors () const =0 |
| virtual Size | numberOfSteps () const =0 |
| virtual const Matrix & | pseudoRoot (Size i) const =0 |
| virtual const Matrix & | covariance (Size i) const |
| virtual const Matrix & | totalCovariance (Size endIndex) const |
| std::vector< Volatility > | timeDependentVolatility (Size i) const |
MarketModel interface | |
| Size | numberOfFactors_ |
| Size | numberOfRates_ |
| Size | numberOfSteps_ |
| std::vector< Rate > | initialRates_ |
| std::vector< Spread > | displacements_ |
| EvolutionDescription | evolution_ |
| std::vector< Matrix > | covariancePseudoRoots_ |
| const std::vector< Rate > & | initialRates () const override |
| const std::vector< Spread > & | displacements () const override |
| const EvolutionDescription & | evolution () const override |
| Size | numberOfRates () const override |
| Size | numberOfFactors () const override |
| Size | numberOfSteps () const override |
| const Matrix & | pseudoRoot (Size i) const override |
Detailed Description
Definition at line 33 of file pseudorootfacade.hpp.
Constructor & Destructor Documentation
◆ PseudoRootFacade() [1/2]
| PseudoRootFacade | ( | const ext::shared_ptr< CTSMMCapletCalibration > & | calibrator | ) |
Definition at line 28 of file pseudorootfacade.cpp.
◆ PseudoRootFacade() [2/2]
| PseudoRootFacade | ( | const std::vector< Matrix > & | covariancePseudoRoots, |
| const std::vector< Rate > & | rateTimes, | ||
| std::vector< Rate > | initialRates, | ||
| const std::vector< Spread > & | displacements | ||
| ) |
Member Function Documentation
◆ initialRates()
|
overridevirtual |
Implements MarketModel.
Definition at line 60 of file pseudorootfacade.hpp.
◆ displacements()
|
overridevirtual |
Implements MarketModel.
Definition at line 64 of file pseudorootfacade.hpp.
Here is the caller graph for this function:
◆ evolution()
|
overridevirtual |
Implements MarketModel.
Definition at line 68 of file pseudorootfacade.hpp.
◆ numberOfRates()
|
overridevirtual |
Implements MarketModel.
Definition at line 72 of file pseudorootfacade.hpp.
◆ numberOfFactors()
|
overridevirtual |
Implements MarketModel.
Definition at line 76 of file pseudorootfacade.hpp.
◆ numberOfSteps()
|
overridevirtual |
Implements MarketModel.
Definition at line 80 of file pseudorootfacade.hpp.
◆ pseudoRoot()
Implements MarketModel.
Definition at line 84 of file pseudorootfacade.hpp.
Member Data Documentation
◆ numberOfFactors_
|
private |
Definition at line 51 of file pseudorootfacade.hpp.
◆ numberOfRates_
|
private |
Definition at line 51 of file pseudorootfacade.hpp.
◆ numberOfSteps_
|
private |
Definition at line 51 of file pseudorootfacade.hpp.
◆ initialRates_
|
private |
Definition at line 52 of file pseudorootfacade.hpp.
◆ displacements_
|
private |
Definition at line 53 of file pseudorootfacade.hpp.
◆ evolution_
|
private |
Definition at line 54 of file pseudorootfacade.hpp.
◆ covariancePseudoRoots_
|
private |
Definition at line 55 of file pseudorootfacade.hpp.