#include <qle/models/cirppconstantparametrization.hpp>

Inheritance diagram for CirppConstantParametrization< TS >:

Public Member Functions
	CirppConstantParametrization (const Currency &currency, const Handle< TS > &termStructure, const Real kappa, const Real theta, const Real sigma, const Real y0, const bool shifted, const std::string &name=std::string())

Real	kappa (const Time t) const

Real	theta (const Time t) const

Real	sigma (const Time t) const

Real	y0 (const Time t) const

const QuantLib::ext::shared_ptr< Parameter >	parameter (const Size) const

Public Member Functions inherited from CirppParametrization< TS >
	CirppParametrization (const Currency &currency, const Handle< TS > &termStructure, bool shifted, const std::string &name=std::string())

const Handle< TS >	termStructure () const

const bool	shifted () const

Size	numberOfParameters () const override

Public Member Functions inherited from Parametrization
	Parametrization (const Currency &currency, const std::string &name="")

virtual const Currency &	currency () const

virtual const Array &	parameterTimes (const Size) const

virtual Array	parameterValues (const Size) const

virtual void	update () const

const std::string &	name () const

Protected Member Functions
Real	direct (const Size i, const Real x) const

Real	inverse (const Size j, const Real y) const

Protected Member Functions inherited from Parametrization
Time	tr (const Time t) const

Time	tl (const Time t) const

Time	tr2 (const Time t) const

Time	tm2 (const Time t) const

Time	tl2 (const Time t) const

Additional Inherited Members
Protected Attributes inherited from Parametrization
const Real	h_

const Real	h2_

Detailed Description

Member Function Documentation

const QuantLib::ext::shared_ptr< Parameter > parameter ( const Size Size ) const

virtual

the parameter storing the raw parameter values

Reimplemented from Parametrization.

protectedvirtual

transformations between raw and actual parameters

Reimplemented from Parametrization.