- QuantLib
- AbcdFunction
Abcd functional form for instantaneous volatility More...
#include <ql/termstructures/volatility/abcd.hpp>
Inherits unary_function< Real, Real >.
Public Member Functions | |
AbcdFunction (Real a=-0.06, Real b=0.17, Real c=0.54, Real d=0.17) | |
Real | operator() (Time u) const |
volatility function value at time u:
| |
Real | maximumLocation () const |
time at which the volatility function reaches maximum (if any) | |
Real | maximumVolatility () const |
maximum value of the volatility function | |
Real | shortTermVolatility () const |
volatility function value at time 0:
| |
Real | longTermVolatility () const |
volatility function value at time +inf:
| |
Real | covariance (Time t, Time T, Time S) const |
Real | covariance (Time t1, Time t2, Time T, Time S) const |
Real | volatility (Time tMin, Time tMax, Time T) const |
Real | variance (Time tMin, Time tMax, Time T) const |
Real | instantaneousVolatility (Time t, Time T) const |
Real | instantaneousVariance (Time t, Time T) const |
Real | instantaneousCovariance (Time u, Time T, Time S) const |
Real | primitive (Time t, Time T, Time S) const |
Real | a () const |
Real | b () const |
Real | c () const |
Real | d () const |
Abcd functional form for instantaneous volatility
following Rebonato's notation.
Real covariance | ( | Time | t, |
Time | T, | ||
Time | S | ||
) | const |
instantaneous covariance function at time t between T-fixing and S-fixing rates
integral of the instantaneous covariance function between time t1 and t2 for T-fixing and S-fixing rates
Real volatility | ( | Time | tMin, |
Time | tMax, | ||
Time | T | ||
) | const |
average volatility in [tMin,tMax] of T-fixing rate:
variance between tMin and tMax of T-fixing rate:
Real instantaneousVolatility | ( | Time | t, |
Time | T | ||
) | const |
instantaneous volatility at time t of the T-fixing rate:
Real instantaneousVariance | ( | Time | t, |
Time | T | ||
) | const |
instantaneous variance at time t of T-fixing rate:
Real instantaneousCovariance | ( | Time | u, |
Time | T, | ||
Time | S | ||
) | const |
instantaneous covariance at time t between T and S fixing rates:
indefinite integral of the instantaneous covariance function at time t between T-fixing and S-fixing rates