AbcdVol Class Reference

Abcd-interpolated volatility structure More...

#include <abcdvol.hpp>

Inheritance diagram for AbcdVol:

Collaboration diagram for AbcdVol:

Public Member Functions
	AbcdVol (Real a, Real b, Real c, Real d, const std::vector< Real > &ks, const ext::shared_ptr< PiecewiseConstantCorrelation > &corr, const EvolutionDescription &evolution, Size numberOfFactors, const 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 >	pseudoRoots_
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

Abcd-interpolated volatility structure

Definition at line 36 of file abcdvol.hpp.

Constructor & Destructor Documentation

AbcdVol()

AbcdVol	(	Real	a,
		Real	b,
		Real	c,
		Real	d,
		const std::vector< Real > &	ks,
		const ext::shared_ptr< PiecewiseConstantCorrelation > &	corr,
		const EvolutionDescription &	evolution,
		Size	numberOfFactors,
		const std::vector< Rate > &	initialRates,
		const std::vector< Spread > &	displacements
	)

Definition at line 31 of file abcdvol.cpp.

Here is the call graph for this function:

Member Function Documentation

initialRates()

const std::vector< Rate > & initialRates ( ) const

overridevirtual

Implements MarketModel.

Definition at line 68 of file abcdvol.hpp.

displacements()

const std::vector< Spread > & displacements ( ) const

overridevirtual

Implements MarketModel.

Definition at line 72 of file abcdvol.hpp.

Here is the caller graph for this function:

evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Implements MarketModel.

Definition at line 76 of file abcdvol.hpp.

Here is the caller graph for this function:

numberOfRates()

Size numberOfRates ( ) const

overridevirtual

Implements MarketModel.

Definition at line 80 of file abcdvol.hpp.

numberOfFactors()

Size numberOfFactors ( ) const

overridevirtual

Implements MarketModel.

Definition at line 84 of file abcdvol.hpp.

Here is the caller graph for this function:

numberOfSteps()

Size numberOfSteps ( ) const

overridevirtual

Implements MarketModel.

Definition at line 88 of file abcdvol.hpp.

pseudoRoot()

const Matrix & pseudoRoot ( Size  i ) const

overridevirtual

Implements MarketModel.

Definition at line 92 of file abcdvol.hpp.

Member Data Documentation

numberOfFactors_

Size numberOfFactors_

private

Definition at line 59 of file abcdvol.hpp.

numberOfRates_

Size numberOfRates_

private

Definition at line 59 of file abcdvol.hpp.

numberOfSteps_

Size numberOfSteps_

private

Definition at line 59 of file abcdvol.hpp.

initialRates_

std::vector<Rate> initialRates_

private

Definition at line 60 of file abcdvol.hpp.

displacements_

std::vector<Spread> displacements_

private

Definition at line 61 of file abcdvol.hpp.

evolution_

EvolutionDescription evolution_

private

Definition at line 62 of file abcdvol.hpp.

pseudoRoots_

std::vector<Matrix> pseudoRoots_

private

Definition at line 63 of file abcdvol.hpp.