SwaptionPseudoDerivative Class Reference

#include <swaptionpseudojacobian.hpp>

Collaboration diagram for SwaptionPseudoDerivative:

Public Member Functions
	SwaptionPseudoDerivative (const ext::shared_ptr< MarketModel > &inputModel, Size startIndex, Size endIndex)
const Matrix &	varianceDerivative (Size i) const
const Matrix &	volatilityDerivative (Size i) const
Real	impliedVolatility () const
Real	variance () const
Real	expiry () const

Private Attributes
ext::shared_ptr< MarketModel >	inputModel_
std::vector< Matrix >	varianceDerivatives_
std::vector< Matrix >	volatilityDerivatives_
Real	impliedVolatility_
Real	expiry_
Real	variance_

Detailed Description

Definition at line 38 of file swaptionpseudojacobian.hpp.

Constructor & Destructor Documentation

SwaptionPseudoDerivative()

SwaptionPseudoDerivative	(	const ext::shared_ptr< MarketModel > &	inputModel,
		Size	startIndex,
		Size	endIndex
	)

Definition at line 34 of file swaptionpseudojacobian.cpp.

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Member Function Documentation

varianceDerivative()

const Matrix & varianceDerivative

(

Size

i

)

const

Definition at line 129 of file swaptionpseudojacobian.cpp.

volatilityDerivative()

const Matrix & volatilityDerivative

(

Size

i

)

const

Definition at line 134 of file swaptionpseudojacobian.cpp.

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impliedVolatility()

Real impliedVolatility

(

)

const

Definition at line 139 of file swaptionpseudojacobian.cpp.

variance()

Real variance

(

)

const

Definition at line 143 of file swaptionpseudojacobian.cpp.

expiry()

Real expiry

(

)

const

Definition at line 147 of file swaptionpseudojacobian.cpp.

Member Data Documentation

inputModel_

ext::shared_ptr<MarketModel> inputModel_

private

Definition at line 56 of file swaptionpseudojacobian.hpp.

varianceDerivatives_

std::vector<Matrix> varianceDerivatives_

private

Definition at line 57 of file swaptionpseudojacobian.hpp.

volatilityDerivatives_

std::vector<Matrix> volatilityDerivatives_

private

Definition at line 58 of file swaptionpseudojacobian.hpp.

impliedVolatility_

Real impliedVolatility_

private

Definition at line 60 of file swaptionpseudojacobian.hpp.

expiry_

Real expiry_

private

Definition at line 61 of file swaptionpseudojacobian.hpp.

variance_

Real variance_

private

Definition at line 62 of file swaptionpseudojacobian.hpp.