AbcdFunction Struct Reference
#include <ql/termstructures/volatilities/abcd.hpp>
Detailed Description
Abcd functional form for instantaneous volatility
following Rebonato's notation.
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 | maximumValue () const |
| maximum value of the volatility function | |
| Real | shortTermValue () const |
| volatility function value at time 0:
| |
| Real | longTermValue () 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 | primitive (Time t, Time T, Time S) const |
| Real | volatility (Time T, Time tMax, Time tMin) const |
| Real | variance (Time T, Time tMax, Time tMin) const |
Public Attributes | |
| Real | a_ |
| Real | b_ |
| Real | c_ |
| Real | d_ |
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 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 volatility | ( | Time | T, | |
| Time | tMax, | |||
| Time | tMin | |||
| ) | const |
volatility in [tMin,tMax] of T-fixing rate:
| Real variance | ( | Time | T, | |
| Time | tMax, | |||
| Time | tMin | |||
| ) | const |
variance in [tMin,tMax] of T-fixing rate: