AbcdVol (3) Linux Manual Page
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