Piecewise Constant Helper 1. More...
#include <qle/models/piecewiseconstanthelper.hpp>
Public Member Functions | |
PiecewiseConstantHelper1 (const Array &t, const boost::shared_ptr< QuantLib::Constraint > &constraint=boost::make_shared< QuantLib::NoConstraint >()) | |
PiecewiseConstantHelper1 (const std::vector< Date > &dates, const Handle< YieldTermStructure > &yts, const boost::shared_ptr< QuantLib::Constraint > &constraint=boost::make_shared< QuantLib::NoConstraint >()) | |
const Array & | t () const |
const boost::shared_ptr< Parameter > | p () const |
void | update () const |
Real | y (const Time t) const |
Real | int_y_sqr (const Time t) const |
int_0^t y^2(s) ds | |
Real | direct (const Real x) const |
Real | inverse (const Real y) const |
Protected Attributes | |
const Array | t_ |
const boost::shared_ptr< PseudoParameter > | y_ |
Piecewise Constant Helper 1.
Real y | ( | const Time | t | ) | const |
this returns the transformed value
|
protected |
y are the raw values in the sense of parameter transformation