QuantLib_PiecewiseConstantParameter man page

PiecewiseConstantParameter — Piecewise-constant parameter.

Synopsis

#include <ql/models/parameter.hpp>

Inherits Parameter.

Public Member Functions

PiecewiseConstantParameter (const std::vector< Time > &times, const Constraint &constraint=NoConstraint())

Additional Inherited Members

Detailed Description

Piecewise-constant parameter.

$ a(t) = a_i if t_{i-1} geq t < t_i $. This kind of parameter is usually used to enhance the fitting of a model

Author

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Referenced By

PiecewiseConstantParameter(3) is an alias of QuantLib_PiecewiseConstantParameter(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib