AbcdMathFunction Class Reference

Abcd functional form More...

#include <ql/math/abcdmathfunction.hpp>

Inheritance diagram for AbcdMathFunction:

Public Types
typedef Time	argument_type
typedef Real	result_type

Public Member Functions
	AbcdMathFunction (Real a=0.002, Real b=0.001, Real c=0.16, Real d=0.0005)
	AbcdMathFunction (const std::vector< Real > &abcd)
Real	operator() (Time t) const
	function value at time t: More...
Time	maximumLocation () const
	time at which the function reaches maximum (if any)
Real	maximumValue () const
	maximum value of the function
Real	longTermValue () const
	function value at time +inf: More...
Real	derivative (Time t) const
Real	primitive (Time t) const
Real	definiteIntegral (Time t1, Time t2) const
Real	a () const
Real	b () const
Real	c () const
Real	d () const
const std::vector< Real > &	coefficients ()
const std::vector< Real > &	derivativeCoefficients ()
std::vector< Real >	definiteIntegralCoefficients (Time t, Time t2) const
std::vector< Real >	definiteDerivativeCoefficients (Time t, Time t2) const

Static Public Member Functions
static void	validate (Real a, Real b, Real c, Real d)

Protected Attributes
Real	a_
Real	b_
Real	c_
Real	d_

Detailed Description

Abcd functional form

\[ f(t) = [ a + b*t ] e^{-c*t} + d \]

following Rebonato's notation.

Member Function Documentation

operator()()

Real operator()

(

Time

t

)

const

function value at time t:

\[ f(t) \]

longTermValue()

Real longTermValue

(

)

const

function value at time +inf:

\[ f(\inf) \]

derivative()

Real derivative

(

Time

t

)

const

first derivative of the function at time t

\[ f'(t) = [ (b-c*a) + (-c*b)*t) ] e^{-c*t} \]

primitive()

Real primitive

(

Time

t

)

const

indefinite integral of the function at time t

\[ \int f(t)dt = [ (-a/c-b/c^2) + (-b/c)*t ] e^{-c*t} + d*t \]

definiteIntegral()

Real definiteIntegral	(	Time	t1,
		Time	t2
	)		const

definite integral of the function between t1 and t2

\[ \int_{t1}^{t2} f(t)dt \]

a()

Real a

(

)

const

Inspectors

definiteIntegralCoefficients()

std::vector<Real> definiteIntegralCoefficients	(	Time	t,
		Time	t2
	)		const

coefficients of a AbcdMathFunction defined as definite integral on a rolling window of length tau, with tau = t2-t

definiteDerivativeCoefficients()

std::vector<Real> definiteDerivativeCoefficients	(	Time	t,
		Time	t2
	)		const

coefficients of a AbcdMathFunction defined as definite derivative on a rolling window of length tau, with tau = t2-t