Abcd Class Reference
#include <ql/termstructures/volatilities/abcd.hpp>
Detailed Description
Abcd functional form for instantaneous volatility
following Rebonato notation.
Public Member Functions | |
Abcd (Real a=-0.06, Real b=0.17, Real c=0.54, Real d=0.17, bool aIsFixed=false, bool bIsFixed=false, bool cIsFixed=false, bool dIsFixed=false) | |
Real | operator() (Time u) const |
instantaneous volatility at time to maturity u:
| |
Real | a () const |
Real | b () const |
Real | c () const |
Real | d () 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 | volatility (Time tMin, Time tMax, Time T) const |
Real | variance (Time tMin, Time tMax, Time T) const |
Real | covariance (Time tMin, Time tMax, Time T, Time S) const |
Real | shortTermVolatility () const |
instantaneous volatility when time to maturity = 0.0 | |
Real | longTermVolatility () const |
instantaneous volatility when time to maturity = +inf | |
Real | maximumLocation () const |
time to maturity at which the instantaneous volatility reaches maximum (if any) | |
Real | maximumVolatility () const |
maximum of the instantaneous volatility | |
std::vector< Real > | k (const std::vector< Real > &blackVols, const std::vector< Real >::const_iterator &t) const |
adjustment factors needed to match Black vols | |
Real | error (const std::vector< Real > &blackVols, const std::vector< Real >::const_iterator &t) const |
volatility error | |
Real | maxError (const std::vector< Real > &blackVols, const std::vector< Real >::const_iterator &t) const |
volatility max error | |
EndCriteria::Type | calibration (const std::vector< Real > &blackVols, const std::vector< Real >::const_iterator &t, const boost::shared_ptr< EndCriteria > &endCriteria=boost::shared_ptr< EndCriteria >(), const boost::shared_ptr< OptimizationMethod > &method=boost::shared_ptr< OptimizationMethod >()) |
calibration | |
Friends | |
class | AbcdCostFunction |
Member Function Documentation
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 volatility | ( | Time | tMin, | |
Time | tMax, | |||
Time | T | |||
) | const |
volatility in [tMin,tMax] of T-fixing rate:
Real variance | ( | Time | tMin, | |
Time | tMax, | |||
Time | T | |||
) | const |
variance in [tMin,tMax] of T-fixing rate:
Real covariance | ( | Time | tMin, | |
Time | tMax, | |||
Time | T, | |||
Time | S | |||
) | const |
covariance in [tMin,tMax] between T and S fixing rates: