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QuantLib_AbcdFunction
Langue: en
Version: 169291 (fedora - 06/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- Detailed Description
- Member Function Documentation
- Real covariance (Time t, Time T, Time S) const
- Real covariance (Time t1, Time t2, Time T, Time S) const
- Real volatility (Time T, Time tMax, Time tMin) const
- Real variance (Time T, Time tMax, Time tMin) 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
- Author
NAME
QuantLib::AbcdFunction - Abcd functional form for instantaneous volatilitySYNOPSIS
#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: \
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: \
Real longTermVolatility () const
volatility function value at time +inf: \
Real covariance (Time t, Time T, Time S) const
Real covariance (Time t1, Time t2, Time T, Time S) const
Real volatility (Time T, Time tMax, Time tMin) const
Real variance (Time T, Time tMax, Time tMin) 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
) e^{-c(T-t)} + d ] following Rebonato's notation.
Member Function Documentation
Real covariance (Time t, Time T, Time S) const
instantaneous covariance function at time t between T-fixing and S-fixing rates \
Real covariance (Time t1, Time t2, Time T, Time S) const
integral of the instantaneous covariance function between time t1 and t2 for T-fixing and S-fixing rates \
Real volatility (Time T, Time tMax, Time tMin) const
average volatility in [tMin,tMax] of T-fixing rate: }\
Real variance (Time T, Time tMax, Time tMin) const
variance between tMin and tMax of T-fixing rate: \
Real instantaneousVolatility (Time t, Time T) const
instantaneous volatility at time t of the T-fixing rate: \
Real instantaneousVariance (Time t, Time T) const
instantaneous variance at time t of T-fixing rate: \
Real instantaneousCovariance (Time u, Time T, Time S) const
instantaneous covariance at time t between T and S fixing rates: \
Real primitive (Time t, Time T, Time S) const
indefinite integral of the instantaneous covariance function at time t between T-fixing and S-fixing rates \
Real a () const
Inspectors
Author
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