FlatVol Class Reference

#include <flatvol.hpp>

Inheritance diagram for FlatVol:

Collaboration diagram for FlatVol:

Public Member Functions
	FlatVol (const std::vector< Volatility > &volatilities, 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

Examples

MarketModels.cpp.

Definition at line 39 of file flatvol.hpp.

Constructor & Destructor Documentation

FlatVol()

FlatVol	(	const std::vector< Volatility > &	volatilities,
		const ext::shared_ptr< PiecewiseConstantCorrelation > &	corr,
		const EvolutionDescription &	evolution,
		Size	numberOfFactors,
		const std::vector< Rate > &	initialRates,
		const std::vector< Spread > &	displacements
	)

Definition at line 49 of file flatvol.cpp.

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Member Function Documentation

initialRates()

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

overridevirtual

Implements MarketModel.

Definition at line 99 of file flatvol.hpp.

displacements()

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

overridevirtual

Implements MarketModel.

Definition at line 103 of file flatvol.hpp.

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evolution()

const EvolutionDescription & evolution ( ) const

overridevirtual

Implements MarketModel.

Definition at line 107 of file flatvol.hpp.

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numberOfRates()

Size numberOfRates ( ) const

overridevirtual

Implements MarketModel.

Definition at line 111 of file flatvol.hpp.

numberOfFactors()

Size numberOfFactors ( ) const

overridevirtual

Implements MarketModel.

Definition at line 115 of file flatvol.hpp.

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numberOfSteps()

Size numberOfSteps ( ) const

overridevirtual

Implements MarketModel.

Definition at line 119 of file flatvol.hpp.

pseudoRoot()

const Matrix & pseudoRoot ( Size  i ) const

overridevirtual

Implements MarketModel.

Definition at line 123 of file flatvol.hpp.

Member Data Documentation

numberOfFactors_

Size numberOfFactors_

private

Definition at line 59 of file flatvol.hpp.

numberOfRates_

Size numberOfRates_

private

Definition at line 59 of file flatvol.hpp.

numberOfSteps_

Size numberOfSteps_

private

Definition at line 59 of file flatvol.hpp.

initialRates_

std::vector<Rate> initialRates_

private

Definition at line 60 of file flatvol.hpp.

displacements_

std::vector<Spread> displacements_

private

Definition at line 61 of file flatvol.hpp.

evolution_

EvolutionDescription evolution_

private

Definition at line 62 of file flatvol.hpp.

pseudoRoots_

std::vector<Matrix> pseudoRoots_

private

Definition at line 63 of file flatvol.hpp.