Main Page   Namespace List   Class Hierarchy   Alphabetical List   Compound List   File List   Namespace Members   Compound Members   File Members  

JR_VolSurface Class Reference

#include <VolatilityAndCorrelation.h>

Inheritance diagram for JR_VolSurface:

VolSurface List of all members.

Detailed Description

Jaeckel-Rebonato volatility surface. See Jaeckel book, p164, 12.11.

Definition at line 176 of file VolatilityAndCorrelation.h.

Public Member Functions

 JR_VolSurface (Real a, Real b, Real c, Real d)
Real sigma (Real t, Real T) const
Real integral_sgsg (Real t, Real T_1, Real T_2) const
std::ostream & printSelf (std::ostream &os) const

Static Public Member Functions

VolSurfacesample ()

Constructor & Destructor Documentation

JR_VolSurface::JR_VolSurface Real    a,
Real    b,
Real    c,
Real    d

Definition at line 181 of file VolatilityAndCorrelation.h.

References VolSurface::a, VolSurface::b, VolSurface::c, VolSurface::d, and Real.

Member Function Documentation

Real JR_VolSurface::sigma Real    t,
Real    T
const [virtual]

Volatility surface .

Implements VolSurface.

Real JR_VolSurface::integral_sgsg Real    t,
Real    T_1,
Real    T_2
const [virtual]

See VolSurface#integral_sgsg.

Implements VolSurface.

std::ostream& JR_VolSurface::printSelf std::ostream &    os const [virtual]

Message and fields.

Implements VolSurface.

VolSurface* JR_VolSurface::sample   [static]

Sample surface.

The documentation for this class was generated from the following file:
Generated on Mon Sep 22 02:16:33 2003 for Libor-Library by doxygen1.3-rc3