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: