Reference manual - version qle_version
Piecewise Constant Helper 3. More...
#include <qle/models/piecewiseconstanthelper.hpp>
Inheritance diagram for PiecewiseConstantHelper3:Public Member Functions | |
| PiecewiseConstantHelper3 (const Array &t1, const Array &t2, const boost::shared_ptr< QuantLib::Constraint > &constraint1=boost::make_shared< QuantLib::NoConstraint >(), const boost::shared_ptr< QuantLib::Constraint > &constraint2=boost::make_shared< QuantLib::NoConstraint >()) | |
| PiecewiseConstantHelper3 (const std::vector< Date > &dates1, const std::vector< Date > &dates2, const Handle< YieldTermStructure > &yts, const boost::shared_ptr< QuantLib::Constraint > &constraint1=boost::make_shared< QuantLib::NoConstraint >(), const boost::shared_ptr< QuantLib::Constraint > &constraint2=boost::make_shared< QuantLib::NoConstraint >()) | |
| const Array & | t1 () const |
| const Array & | t2 () const |
| const Array & | tUnion () const |
| const boost::shared_ptr< Parameter > | p1 () const |
| const boost::shared_ptr< Parameter > | p2 () const |
| void | update () const |
| Real | y1 (const Time t) const |
| Real | y2 (const Time t) const |
| Real | int_y1_sqr_exp_2_int_y2 (const Time t) const |
| int_0^t y1^2(s) exp(2*int_0^s y2(u) du) ds | |
| Real | direct1 (const Real x) const |
| Real | inverse1 (const Real y) const |
| Real | direct2 (const Real x) const |
| Real | inverse2 (const Real y) const |
Protected Attributes | |
| const Array | t1_ |
| const Array | t2_ |
| Array | tUnion_ |
| const boost::shared_ptr< PseudoParameter > | y1_ |
| const boost::shared_ptr< PseudoParameter > | y2_ |
| Array | y1Union_ |
| Array | y2Union_ |
Piecewise Constant Helper 3.
| Real y1 | ( | const Time | t | ) | const |
this returns the transformed value
| Real y2 | ( | const Time | t | ) | const |
this returns the transformed value
|
protected |
y1, y2 are the raw values in the sense of parameter transformation
