PiecewiseConstantHelper2 Class Reference

Piecewise Constant Helper2. More...

#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

y()

Real y

(

const Time

t

)

const

this returns the transformed value

Member Data Documentation

y_

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

protected

y are the raw values in the sense of parameter transformation