QuantLib_AbcdVol man page

AbcdVol — Abcd-interpolated volatility structure  

Synopsis

#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

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Fri Sep 1 2017 Version 1.10.1 QuantLib