Abcd Class Reference
#include <ql/MarketModels/Models/abcd.hpp>
Detailed Description
Abcd functional form for instantaneous volatility.
following Rebonato notation.
Public Member Functions | |
| Abcd (Real a=-0.06, Real b=0.17, Real c=0.54, Real d=0.17, bool aIsFixed=false, bool bIsFixed=false, bool cIsFixed=false, bool dIsFixed=false) | |
| Real | operator() (Time u) const |
| instantaneous volatility at time to maturity u:
| |
| Real | a () const |
| Real | b () const |
| Real | c () const |
| Real | d () const |
| Real | instantaneousVolatility (Time u, Time T) const |
| Real | instantaneousVariance (Time u, Time T) const |
| Real | instantaneousCovariance (Time u, Time T, Time S) const |
| Real | volatility (Time tMin, Time tMax, Time T) const |
| Real | variance (Time tMin, Time tMax, Time T) const |
| Real | covariance (Time tMin, Time tMax, Time T, Time S) const |
| Real | shortTermVolatility () const |
| instantaneous volatility when time to maturity = 0.0 | |
| Real | longTermVolatility () const |
| instantaneous volatility when time to maturity = +inf | |
| Real | maximumLocation () const |
| time to maturity at which the instantaneous volatility reaches maximum (if any) | |
| Real | maximumVolatility () const |
| maximum of the instantaneous volatility | |
| std::vector< Real > | k (const std::vector< Real > &blackVols, const std::vector< Real >::const_iterator &t) const |
| adjustment factors needed to match Black vols | |
| Real | error (const std::vector< Real > &blackVols, const std::vector< Real >::const_iterator &t) const |
| vol error | |
| EndCriteria::Type | capletCalibration (const std::vector< Real > &blackVols, const std::vector< Real >::const_iterator &t, const boost::shared_ptr< OptimizationMethod > &method=boost::shared_ptr< OptimizationMethod >()) |
| calibration | |
Friends | |
| class | AbcdCostFunction |
Member Function Documentation
| Real instantaneousVolatility | ( | Time | u, | |
| Time | T | |||
| ) | const |
instantaneous volatility at time u of the T-fixing rate:
| Real instantaneousVariance | ( | Time | u, | |
| Time | T | |||
| ) | const |
instantaneous variance at time u of T-fixing rate:
| Real instantaneousCovariance | ( | Time | u, | |
| Time | T, | |||
| Time | S | |||
| ) | const |
instantaneous covariance at time u between T and S fixing rates:
| Real volatility | ( | Time | tMin, | |
| Time | tMax, | |||
| Time | T | |||
| ) | const |
volatility in [tMin,tMax] of T-fixing rate:
| Real variance | ( | Time | tMin, | |
| Time | tMax, | |||
| Time | T | |||
| ) | const |
variance in [tMin,tMax] of T-fixing rate:
| Real covariance | ( | Time | tMin, | |
| Time | tMax, | |||
| Time | T, | |||
| Time | S | |||
| ) | const |
covariance in [tMin,tMax] between T and S fixing rates: