CirppParametrization< TS > Class Template Reference

CIR++ Parametrization. More...

#include <qle/models/cirppparametrization.hpp>

Inheritance diagram for CirppParametrization< TS >:

Public Member Functions
	CirppParametrization (const Currency &currency, const Handle< TS > &termStructure, bool shifted, const std::string &name=std::string())
virtual Real	kappa (const Time t) const =0
virtual Real	theta (const Time t) const =0
virtual Real	sigma (const Time t) const =0
virtual Real	y0 (const Time t) const =0
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 const QuantLib::ext::shared_ptr< Parameter >	parameter (const Size) const
virtual void	update () const
const std::string &	name () const
virtual Real	direct (const Size, const Real x) const
virtual Real	inverse (const Size, const Real y) const

Additional Inherited Members
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
Protected Attributes inherited from Parametrization
const Real	h_
const Real	h2_

Detailed Description

template<class TS>
class QuantExt::CirppParametrization< TS >

CIR++ Parametrization.

Member Function Documentation

numberOfParameters()

template<class TS>

Size numberOfParameters ( ) const

overridevirtual

the number of parameters in this parametrization

Reimplemented from Parametrization.