Abcd functional form More...
#include <ql/math/abcdmathfunction.hpp>
 Inheritance diagram for AbcdMathFunction:
 Inheritance diagram for AbcdMathFunction:| Public Member Functions | |
| AbcdMathFunction (Real a=0.002, Real b=0.001, Real c=0.16, Real d=0.0005) | |
| AbcdMathFunction (const std::vector< Real > &abcd) | |
| Real | operator() (Time t) const | 
| function value at time t: \[ f(t) \] | |
| Time | maximumLocation () const | 
| time at which the function reaches maximum (if any) | |
| Real | maximumValue () const | 
| maximum value of the function | |
| Real | longTermValue () const | 
| function value at time +inf: \[ f(\inf) \] | |
| Real | derivative (Time t) const | 
| Real | primitive (Time t) const | 
| Real | definiteIntegral (Time t1, Time t2) const | 
| Real | a () const | 
| Real | b () const | 
| Real | c () const | 
| Real | d () const | 
| const std::vector< Real > & | coefficients () | 
| const std::vector< Real > & | derivativeCoefficients () | 
| std::vector< Real > | definiteIntegralCoefficients (Time t, Time t2) const | 
| std::vector< Real > | definiteDerivativeCoefficients (Time t, Time t2) const | 
| Static Public Member Functions | |
| static void | validate (Real a, Real b, Real c, Real d) | 
| Protected Attributes | |
| Real | a_ | 
| Real | b_ | 
| Real | c_ | 
| Real | d_ | 
Abcd functional form
\[ f(t) = [ a + b*t ] e^{-c*t} + d \]
following Rebonato's notation.
first derivative of the function at time t
\[ f'(t) = [ (b-c*a) + (-c*b)*t) ] e^{-c*t} \]
indefinite integral of the function at time t
\[ \int f(t)dt = [ (-a/c-b/c^2) + (-b/c)*t ] e^{-c*t} + d*t \]
definite integral of the function between t1 and t2
\[ \int_{t1}^{t2} f(t)dt \]
| Real a | ( | ) | const | 
Inspectors
coefficients of a AbcdMathFunction defined as definite integral on a rolling window of length tau, with tau = t2-t
coefficients of a AbcdMathFunction defined as definite derivative on a rolling window of length tau, with tau = t2-t