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JR_VolSurface Class Reference

#include <VolatilityAndCorrelation.h>

Inheritance diagram for JR_VolSurface:

List of all members.

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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
VolSurface *	sample ()

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Constructor & Destructor Documentation

JR_VolSurface::JR_VolSurface (  Real    a, Real    b, Real    c, Real    d )  [inline]

Definition at line 181 of file VolatilityAndCorrelation.h. References VolSurface::a, VolSurface::b, VolSurface::c, VolSurface::d, and Real.

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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.

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The documentation for this class was generated from the following file:

• VolatilityAndCorrelation.h

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