PiecewiseConstantParameter (3) Linux Manual Page

QuantLib::PiecewiseConstantParameter – Piecewise-constant parameter.

Synopsis

#include <ql/models/parameter.hpp>

Inherits QuantLib::Parameter.

Public Member Functions

PiecewiseConstantParameter (const std::vector< Time > &times)

Detailed Description

Piecewise-constant parameter.

$ a(t) = a_i if t_{i-1} geq t < t_i $. This kind of parameter is usually used to enhance the fitting of a model

Author

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