CFL
Public Member Functions | List of all members

The parameters of Black model. More...

#include <cfl/BlackData.hpp>

Public Member Functions

 Data ()
 
 Data (const Function &rDiscount, const Function &rForward, const Function &rVolatility, double dInitialTime)
 
 Data (const Function &rDiscount, const Function &rForward, double dSigma, double dInitialTime)
 
 Data (const Function &rDiscount, const Function &rForward, const Function &rVolatility, const Function &rShape, double dInitialTime)
 
 Data (const Function &rDiscount, const Function &rForward, double dSigma, double dLambda, double dInitialTime)
 
const Functiondiscount () const
 
const Functionforward () const
 
double initialTime () const
 
const Functionshape () const
 
const Functionvolatility () const
 

Detailed Description

This class defines the parameters of the Black model. The set of parameters consists of discount, forward, shape, and volatility curves.

Constructor & Destructor Documentation

cfl::Black::Data::Data ( )
inline

Default constructor.

cfl::Black::Data::Data ( const Function rDiscount,
const Function rForward,
const Function rVolatility,
double  dInitialTime 
)

Constructs parameters of classical Black model.

Parameters
rDiscountA discount curve.
rForwardA forward curve.
rVolatilityA volatility curve.
dInitialTimeInitial time given as year fraction.
cfl::Black::Data::Data ( const Function rDiscount,
const Function rForward,
double  dSigma,
double  dInitialTime 
)

Constructs parameters of classical Black model with constant volatility.

Parameters
rDiscountA discount curve.
rForwardA forward curve.
dSigmaA volatility.
dInitialTimeInitial time given as year fraction.
cfl::Black::Data::Data ( const Function rDiscount,
const Function rForward,
const Function rVolatility,
const Function rShape,
double  dInitialTime 
)

Constructs parameters of general Black model.

Parameters
rDiscountA discount curve.
rForwardA forward curve.
rVolatilityA volatility curve.
rShapeA shape function. This function defines the shape of movements of the curve of forward prices.
dInitialTimeInitial time given as year fraction.
cfl::Black::Data::Data ( const Function rDiscount,
const Function rForward,
double  dSigma,
double  dLambda,
double  dInitialTime 
)

Constructs parameters of general Black model with stationary volatility.

Parameters
rDiscountA discount curve.
rForwardA forward curve.
dSigmaThe volatility of spot price.
dLambdaThe mean-reversion coefficient for log of spot price under the risk-neutral measure.
dInitialTimeInitial time given as year fraction.

Member Function Documentation

const Function& cfl::Black::Data::discount ( ) const

Accessor function to discount curve.

Returns
The discount curve.
const Function& cfl::Black::Data::forward ( ) const

Accessor function to forward curve.

Returns
Forward curve for financial asset.
double cfl::Black::Data::initialTime ( ) const

Accessor function to the initial time.

Returns
The initial time as year fraction.
const Function& cfl::Black::Data::shape ( ) const

Accessor function to "shape" curve.

Returns
The shape function. This function defines the shape of changes in forward prices.
const Function& cfl::Black::Data::volatility ( ) const

Accessor function to volatility curve.

Returns
The volatility curve for the state process.

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