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).