AbcdVol Class Reference

Abcd-interpolated volatility structure More...

#include <ql/models/marketmodels/models/abcdvol.hpp>

Inheritance diagram for AbcdVol:

List of all members.

Public Member Functions

 AbcdVol (Real a, Real b, Real c, Real d, const std::vector< Real > &ks, const boost::shared_ptr< PiecewiseConstantCorrelation > &corr, const EvolutionDescription &evolution, const Size numberOfFactors, const std::vector< Rate > &initialRates, const std::vector< Spread > &displacements)
MarketModel interface
const std::vector< Rate > & initialRates () const
const std::vector< Spread > & displacements () const
const EvolutionDescriptionevolution () const
Size numberOfRates () const
Size numberOfFactors () const
Size numberOfSteps () const
const MatrixpseudoRoot (Size i) const

Detailed Description

Abcd-interpolated volatility structure