QuantLib_AbcdVol (3) - Linux Man Pages

QuantLib_AbcdVol: Abcd-interpolated volatility structure

NAME

QuantLib::AbcdVol - Abcd-interpolated volatility structure

SYNOPSIS


#include <ql/models/marketmodels/models/abcdvol.hpp>

Inherits QuantLib::MarketModel.

Public Member Functions


AbcdVol (Real a, Real b, Real c, Real d, const std::vector< Real > &ks, const boost::shared_ptr< PiecewiseConstantCorrelation > &corr, const EvolutionDescription &evolution, const Size numberOfFactors, const std::vector< Rate > &initialRates, const std::vector< Spread > &displacements)

MarketModel interface


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

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

const EvolutionDescription & evolution () const

Size numberOfRates () const

Size numberOfFactors () const

Size numberOfSteps () const

const Matrix & pseudoRoot (Size i) const

Detailed Description

Abcd-interpolated volatility structure

Author

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