AbcdVol Class Reference

Abcd-interpolated volatility structure More...

#include <ql/models/marketmodels/models/abcdvol.hpp>

Inheritance diagram for AbcdVol:

Public Member Functions
	AbcdVol (Real a, Real b, Real c, Real d, const std::vector< Real > &ks, const ext::shared_ptr< PiecewiseConstantCorrelation > &corr, const EvolutionDescription &evolution, Size numberOfFactors, const std::vector< Rate > &initialRates, const std::vector< Spread > &displacements)
Public Member Functions inherited from MarketModel
virtual const Matrix &	covariance (Size i) const
virtual const Matrix &	totalCovariance (Size endIndex) const
std::vector< Volatility >	timeDependentVolatility (Size i) const

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