GFunctionFactory Class Reference

#include <conundrumpricer.hpp>

Collaboration diagram for GFunctionFactory:

Classes
class	GFunctionExactYield
class	GFunctionStandard
class	GFunctionWithShifts

Public Types
enum	YieldCurveModel { Standard , ExactYield , ParallelShifts , NonParallelShifts }

Public Member Functions
	GFunctionFactory ()=delete

Static Public Member Functions
static ext::shared_ptr< GFunction >	newGFunctionStandard (Size q, Real delta, Size swapLength)
static ext::shared_ptr< GFunction >	newGFunctionExactYield (const CmsCoupon &coupon)
static ext::shared_ptr< GFunction >	newGFunctionWithShifts (const CmsCoupon &coupon, const Handle< Quote > &meanReversion)

Detailed Description

Definition at line 72 of file conundrumpricer.hpp.

Member Enumeration Documentation

YieldCurveModel

enum YieldCurveModel

Enumerator
Standard
ExactYield
ParallelShifts
NonParallelShifts

Definition at line 74 of file conundrumpricer.hpp.

Constructor & Destructor Documentation

GFunctionFactory()

GFunctionFactory ( )

delete

Member Function Documentation

newGFunctionStandard()

ext::shared_ptr< GFunction > newGFunctionStandard ( Size  q, Real  delta, Size  swapLength  )

static

Definition at line 631 of file conundrumpricer.cpp.

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newGFunctionExactYield()

ext::shared_ptr< GFunction > newGFunctionExactYield ( const CmsCoupon &  coupon )

static

Definition at line 726 of file conundrumpricer.cpp.

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newGFunctionWithShifts()

ext::shared_ptr< GFunction > newGFunctionWithShifts ( const CmsCoupon &  coupon, const Handle< Quote > &  meanReversion  )

static

Definition at line 982 of file conundrumpricer.cpp.

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