VolatilityInterpolationSpecifierabcd Class Reference

#include <volatilityinterpolationspecifierabcd.hpp>

Inheritance diagram for VolatilityInterpolationSpecifierabcd:

Collaboration diagram for VolatilityInterpolationSpecifierabcd:

Public Member Functions
	VolatilityInterpolationSpecifierabcd (Size period, Size offset, const std::vector< PiecewiseConstantAbcdVariance > &originalVariances, const std::vector< Time > &timesForSmallRates, Real lastCapletVol=0.0)
	~VolatilityInterpolationSpecifierabcd () override=default
void	setScalingFactors (const std::vector< Real > &scales) override
void	setLastCapletVol (Real vol) override
const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &	interpolatedVariances () const override
const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &	originalVariances () const override
Size	getPeriod () const override
Size	getOffset () const override
Size	getNoBigRates () const override
Size	getNoSmallRates () const override
Public Member Functions inherited from VolatilityInterpolationSpecifier
	VolatilityInterpolationSpecifier ()=default
virtual	~VolatilityInterpolationSpecifier ()=default
virtual void	setScalingFactors (const std::vector< Real > &scales)=0
virtual void	setLastCapletVol (Real vol)=0
virtual const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &	interpolatedVariances () const =0
virtual const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &	originalVariances () const =0
virtual Size	getPeriod () const =0
virtual Size	getOffset () const =0
virtual Size	getNoBigRates () const =0
virtual Size	getNoSmallRates () const =0

Private Member Functions
void	recompute ()

Private Attributes
Size	period_
Size	offset_
std::vector< ext::shared_ptr< PiecewiseConstantVariance > >	interpolatedVariances_
std::vector< ext::shared_ptr< PiecewiseConstantVariance > >	originalVariances_
std::vector< PiecewiseConstantAbcdVariance >	originalABCDVariances_
std::vector< PiecewiseConstantAbcdVariance >	originalABCDVariancesScaled_
Real	lastCapletVol_
std::vector< Time >	timesForSmallRates_
std::vector< Real >	scalingFactors_
Size	noBigRates_
Size	noSmallRates_

Detailed Description

Definition at line 32 of file volatilityinterpolationspecifierabcd.hpp.

Constructor & Destructor Documentation

VolatilityInterpolationSpecifierabcd()

VolatilityInterpolationSpecifierabcd	(	Size	period,
		Size	offset,
		const std::vector< PiecewiseConstantAbcdVariance > &	originalVariances,
		const std::vector< Time > &	timesForSmallRates,
		Real	lastCapletVol = 0.0
	)

Definition at line 37 of file volatilityinterpolationspecifierabcd.cpp.

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~VolatilityInterpolationSpecifierabcd()

~VolatilityInterpolationSpecifierabcd ( )

overridedefault

Member Function Documentation

setScalingFactors()

void setScalingFactors ( const std::vector< Real > &  scales )

overridevirtual

Implements VolatilityInterpolationSpecifier.

Definition at line 73 of file volatilityinterpolationspecifierabcd.cpp.

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setLastCapletVol()

void setLastCapletVol ( Real  vol )

overridevirtual

Implements VolatilityInterpolationSpecifier.

Definition at line 80 of file volatilityinterpolationspecifierabcd.cpp.

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interpolatedVariances()

const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > & interpolatedVariances ( ) const

overridevirtual

Implements VolatilityInterpolationSpecifier.

Definition at line 87 of file volatilityinterpolationspecifierabcd.cpp.

originalVariances()

const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > & originalVariances ( ) const

overridevirtual

Implements VolatilityInterpolationSpecifier.

Definition at line 92 of file volatilityinterpolationspecifierabcd.cpp.

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getPeriod()

Size getPeriod ( ) const

overridevirtual

Implements VolatilityInterpolationSpecifier.

Definition at line 97 of file volatilityinterpolationspecifierabcd.cpp.

getOffset()

Size getOffset ( ) const

overridevirtual

Implements VolatilityInterpolationSpecifier.

Definition at line 102 of file volatilityinterpolationspecifierabcd.cpp.

getNoBigRates()

Size getNoBigRates ( ) const

overridevirtual

Implements VolatilityInterpolationSpecifier.

Definition at line 107 of file volatilityinterpolationspecifierabcd.cpp.

getNoSmallRates()

Size getNoSmallRates ( ) const

overridevirtual

Implements VolatilityInterpolationSpecifier.

Definition at line 111 of file volatilityinterpolationspecifierabcd.cpp.

recompute()

void recompute ( )

private

Definition at line 117 of file volatilityinterpolationspecifierabcd.cpp.

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Member Data Documentation

period_

Size period_

private

Definition at line 58 of file volatilityinterpolationspecifierabcd.hpp.

offset_

Size offset_

private

Definition at line 59 of file volatilityinterpolationspecifierabcd.hpp.

interpolatedVariances_

std::vector<ext::shared_ptr<PiecewiseConstantVariance> > interpolatedVariances_

private

Definition at line 61 of file volatilityinterpolationspecifierabcd.hpp.

originalVariances_

std::vector<ext::shared_ptr<PiecewiseConstantVariance> > originalVariances_

private

Definition at line 62 of file volatilityinterpolationspecifierabcd.hpp.

originalABCDVariances_

std::vector< PiecewiseConstantAbcdVariance> originalABCDVariances_

private

Definition at line 63 of file volatilityinterpolationspecifierabcd.hpp.

originalABCDVariancesScaled_

std::vector< PiecewiseConstantAbcdVariance> originalABCDVariancesScaled_

private

Definition at line 64 of file volatilityinterpolationspecifierabcd.hpp.

lastCapletVol_

Real lastCapletVol_

private

Definition at line 65 of file volatilityinterpolationspecifierabcd.hpp.

timesForSmallRates_

std::vector<Time> timesForSmallRates_

private

Definition at line 66 of file volatilityinterpolationspecifierabcd.hpp.

scalingFactors_

std::vector<Real> scalingFactors_

private

Definition at line 67 of file volatilityinterpolationspecifierabcd.hpp.

noBigRates_

Size noBigRates_

private

Definition at line 69 of file volatilityinterpolationspecifierabcd.hpp.

noSmallRates_

Size noSmallRates_

private

Definition at line 70 of file volatilityinterpolationspecifierabcd.hpp.