#include <qle/models/piecewiseconstanthelper.hpp>

Inheritance diagram for PiecewiseConstantHelper2:

Public Member Functions
	PiecewiseConstantHelper2 (const Array &t, const QuantLib::ext::shared_ptr< PseudoParameter > &y)

	PiecewiseConstantHelper2 (const Array &t, const QuantLib::ext::shared_ptr< QuantLib::Constraint > &constraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())

	PiecewiseConstantHelper2 (const std::vector< Date > &dates, const Handle< YieldTermStructure > &yts, const QuantLib::ext::shared_ptr< QuantLib::Constraint > &constraint=QuantLib::ext::make_shared< QuantLib::NoConstraint >())

const Array &	t () const

const QuantLib::ext::shared_ptr< Parameter >	p () const

void	update () const

Real	y (const Time t) const

Real	exp_m_int_y (const Time t) const
	exp(int_0^t -y(s)) ds

Real	int_exp_m_int_y (const Time t) const
	int_0^t exp(int_0^s -y(u) du) ds

Real	direct (const Real x) const

Real	inverse (const Real y) const

Protected Attributes
const Array	t_

const QuantLib::ext::shared_ptr< PseudoParameter >	y_

Detailed Description

Piecewise Constant Helper2.

Member Function Documentation

Real y ( const Time t ) const

this returns the transformed value

const QuantLib::ext::shared_ptr<PseudoParameter> y_

protected

y are the raw values in the sense of parameter transformation