QuantLib_AbcdVol man page

AbcdVol — Abcd-interpolated volatility structure


#include <ql/models/marketmodels/models/abcdvol.hpp>

Inherits MarketModel.

Public Member Functions

AbcdVol (Real a, Real b, Real c, Real d, const std::vector< Real > &ks, const boost::shared_ptr< PiecewiseConstantCorrelation > &corr, const EvolutionDescription &evolution, const Size numberOfFactors, const std::vector< Rate > &initialRates, const std::vector< Spread > &displacements)

MarketModel interface

const std::vector< Rate > & initialRates () const

const std::vector< Spread > & displacements () const

const EvolutionDescription & evolution () const

Size numberOfRates () const

Size numberOfFactors () const

Size numberOfSteps () const

const Matrix & pseudoRoot (Size i) const

Detailed Description

Abcd-interpolated volatility structure


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AbcdVol(3), displacements(3), evolution(3), initialRates(3), numberOfFactors(3), numberOfRates(3), numberOfSteps(3) and pseudoRoot(3) are aliases of QuantLib_AbcdVol(3).

QuantLib Version 1.8.1 Fri Sep 23 2016