PiecewiseConstantHelper3 Class Reference

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 QuantLib::ext::shared_ptr< QuantLib::Constraint > &constraint1=QuantLib::ext::make_shared< QuantLib::NoConstraint >(), const QuantLib::ext::shared_ptr< QuantLib::Constraint > &constraint2=QuantLib::ext::make_shared< QuantLib::NoConstraint >())
	PiecewiseConstantHelper3 (const std::vector< Date > &dates1, const std::vector< Date > &dates2, const Handle< YieldTermStructure > &yts, const QuantLib::ext::shared_ptr< QuantLib::Constraint > &constraint1=QuantLib::ext::make_shared< QuantLib::NoConstraint >(), const QuantLib::ext::shared_ptr< QuantLib::Constraint > &constraint2=QuantLib::ext::make_shared< QuantLib::NoConstraint >())
const Array &	t1 () const
const Array &	t2 () const
const Array &	tUnion () const
const QuantLib::ext::shared_ptr< Parameter >	p1 () const
const QuantLib::ext::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 QuantLib::ext::shared_ptr< PseudoParameter >	y1_
const QuantLib::ext::shared_ptr< PseudoParameter >	y2_
Array	y1Union_
Array	y2Union_

Detailed Description

Piecewise Constant Helper 3.

Member Function Documentation

y1()

Real y1

(

const Time

t

)

const

this returns the transformed value

y2()

Real y2

(

const Time

t

)

const

this returns the transformed value

Member Data Documentation

y1_

const QuantLib::ext::shared_ptr<PseudoParameter> y1_

protected

y1, y2 are the raw values in the sense of parameter transformation