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QuantLib_AbcdFunction
Langue: en
Version: 382246 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- Detailed Description
- Member Function Documentation
- Real covariance (Time t, Time T, Time S) constinstantaneous covariance function at time t between T-fixing and S-fixing rates [ f(T-t)f(S-t) ]
- Real covariance (Time t1, Time t2, Time T, Time S) constintegral of the instantaneous covariance function between time t1 and t2 for T-fixing and S-fixing rates [ int_{t1}^{t2} f(T-t)f(S-t)dt ]
- Real volatility (Time tMin, Time tMax, Time T) constaverage volatility in [tMin,tMax] of T-fixing rate: [ qrt{ ac{int_{tMin}^{tMax} f^2(T-u)du}{tMax-tMin} } ]
- Real variance (Time tMin, Time tMax, Time T) constvariance between tMin and tMax of T-fixing rate: [ ac{int_{tMin}^{tMax} f^2(T-u)du}{tMax-tMin} ]
- Real instantaneousVolatility (Time t, Time T) constinstantaneous volatility at time t of the T-fixing rate: [ f(T-t) ]
- Real instantaneousVariance (Time t, Time T) constinstantaneous variance at time t of T-fixing rate: [ f(T-t)f(T-t) ]
- Real instantaneousCovariance (Time u, Time T, Time S) constinstantaneous covariance at time t between T and S fixing rates: [ f(T-u)f(S-u) ]
- Real primitive (Time t, Time T, Time S) constindefinite integral of the instantaneous covariance function at time t between T-fixing and S-fixing rates [ int f(T-t)f(S-t)dt ]
- Real a () constInspectors
- Author
NAME
QuantLib::AbcdFunction -Abcd functional form for instantaneous volatility
SYNOPSIS
#include <ql/termstructures/volatility/abcd.hpp>
Inherits std::unary_function< Real, Real >.
Public Member Functions
AbcdFunction (Real a=-0.06, Real b=0.17, Real c=0.54, Real d=0.17)
Real operator() (Time u) const
volatility function value at time u: [ f(u) ]
Real maximumLocation () const
time at which the volatility function reaches maximum (if any)
Real maximumVolatility () const
maximum value of the volatility function
Real shortTermVolatility () const
volatility function value at time 0: [ f(0) ]
Real longTermVolatility () const
volatility function value at time +inf: [ f(inf) ]
Real covariance (Time t, Time T, Time S) const
Real covariance (Time t1, Time t2, Time T, Time S) const
Real volatility (Time tMin, Time tMax, Time T) const
Real variance (Time tMin, Time tMax, Time T) const
Real instantaneousVolatility (Time t, Time T) const
Real instantaneousVariance (Time t, Time T) const
Real instantaneousCovariance (Time u, Time T, Time S) const
Real primitive (Time t, Time T, Time S) const
Real a () const
Real b () const
Real c () const
Real d () const
Detailed Description
Abcd functional form for instantaneous volatility
[ f(T-t) = [ a + b(T-t) ] e^{-c(T-t)} + d ] following Rebonato's notation.
Member Function Documentation
Real covariance (Time t, Time T, Time S) constinstantaneous covariance function at time t between T-fixing and S-fixing rates [ f(T-t)f(S-t) ]
Real covariance (Time t1, Time t2, Time T, Time S) constintegral of the instantaneous covariance function between time t1 and t2 for T-fixing and S-fixing rates [ int_{t1}^{t2} f(T-t)f(S-t)dt ]
Real volatility (Time tMin, Time tMax, Time T) constaverage volatility in [tMin,tMax] of T-fixing rate: [ qrt{ ac{int_{tMin}^{tMax} f^2(T-u)du}{tMax-tMin} } ]
Real variance (Time tMin, Time tMax, Time T) constvariance between tMin and tMax of T-fixing rate: [ ac{int_{tMin}^{tMax} f^2(T-u)du}{tMax-tMin} ]
Real instantaneousVolatility (Time t, Time T) constinstantaneous volatility at time t of the T-fixing rate: [ f(T-t) ]
Real instantaneousVariance (Time t, Time T) constinstantaneous variance at time t of T-fixing rate: [ f(T-t)f(T-t) ]
Real instantaneousCovariance (Time u, Time T, Time S) constinstantaneous covariance at time t between T and S fixing rates: [ f(T-u)f(S-u) ]
Real primitive (Time t, Time T, Time S) constindefinite integral of the instantaneous covariance function at time t between T-fixing and S-fixing rates [ int f(T-t)f(S-t)dt ]
Real a () constInspectors
Author
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