QuantLib_AbcdMathFunction man page

AbcdMathFunction — Abcd functional form

Synopsis

#include <ql/math/abcdmathfunction.hpp>

Inherits unary_function< Time, Real >.

Inherited by AbcdFunction.

Public Member Functions

AbcdMathFunction (Real a=0.002, Real b=0.001, Real c=0.16, Real d=0.0005)

AbcdMathFunction (const std::vector< Real > &abcd)

Real operator() (Time t) const
function value at time t: [ f(t) ]
Time maximumLocation () const
time at which the function reaches maximum (if any)
Real maximumValue () const
maximum value of the function
Real longTermValue () const
function value at time +inf: [ f(inf) ]
Real derivative (Time t) const

Real primitive (Time t) const

Real definiteIntegral (Time t1, Time t2) const

Real a () const

Real b () const

Real c () const

Real d () const

const std::vector< Real > & coefficients ()

const std::vector< Real > & derivativeCoefficients ()

std::vector< Real > definiteIntegralCoefficients (Time t, Time t2) const

std::vector< Real > definiteDerivativeCoefficients (Time t, Time t2) const

Static Public Member Functions

static void validate (Real a, Real b, Real c, Real d)

Protected Attributes

Real a_

Real b_

Real c_

Real d_

Detailed Description

Abcd functional form

[ f(t) = [ a + b*t ] e^{-c*t} + d ] following Rebonato's notation.

Member Function Documentation

Real derivative (Time t) const

first derivative of the function at time t [ f'(t) = [ (b-c*a) + (-c*b)*t) ] e^{-c*t} ]

Real primitive (Time t) const

indefinite integral of the function at time t [ int f(t)dt = [ (-a/c-b/c^2) + (-b/c)*t ] e^{-c*t} + d*t ]

Real definiteIntegral (Time t1, Time t2) const

definite integral of the function between t1 and t2 [ int_{t1}^{t2} f(t)dt ]

Real a () const

Inspectors

std::vector<Real> definiteIntegralCoefficients (Time t, Time t2) const

coefficients of a AbcdMathFunction defined as definite integral on a rolling window of length tau, with tau = t2-t

std::vector<Real> definiteDerivativeCoefficients (Time t, Time t2) const

coefficients of a AbcdMathFunction defined as definite derivative on a rolling window of length tau, with tau = t2-t

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

a_(3), AbcdMathFunction(3), b_(3), c_(3), coefficients(3), d_(3), definiteDerivativeCoefficients(3), definiteIntegral(3), definiteIntegralCoefficients(3), derivative(3), derivativeCoefficients(3), longTermValue(3), maximumLocation(3), maximumValue(3), operator()(3) and validate(3) are aliases of QuantLib_AbcdMathFunction(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib