CFL
BlackData.hpp
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1 //Copyright (c) Dmitry Kramkov, 2000-2006. All rights reserved.
2 
3 #ifndef __cflBlackData_hpp__
4 #define __cflBlackData_hpp__
5 
16 #include "cfl/Data.hpp"
17 
18 namespace cfl
19 {
32 
34 
38  namespace Black
39  {
41 
46  class Data
47  {
48  public:
52  Data(){};
53 
61  Data(const Function & rDiscount, const Function & rForward,
62  const Function & rVolatility, double dInitialTime);
63 
71  Data(const Function & rDiscount, const Function & rForward,
72  double dSigma, double dInitialTime);
73 
83  Data(const Function & rDiscount, const Function & rForward,
84  const Function & rVolatility, const Function & rShape,
85  double dInitialTime);
86 
96  Data(const Function & rDiscount, const Function & rForward,
97  double dSigma, double dLambda, double dInitialTime);
98 
102  double initialTime() const;
103 
107  const Function & discount() const;
108 
113  const Function & forward() const;
114 
118  const Function & volatility() const;
119 
125  const Function & shape() const;
126 
127  private:
128  Function m_uDiscount;
129  Function m_uForward;
130  Function m_uVolatility;
131  Function m_uShape;
132  double m_dInitialTime;
133  };
134  }
136 }
137 
138 #include "cfl/Inline/iBlackData.hpp"
139 #endif // of __cflBlackData_hpp__
const Function & shape() const
double initialTime() const
Concrete class for a one-dimensional function.
Definition: Function.hpp:78
const Function & volatility() const
Data()
Definition: BlackData.hpp:52
Useful data structures.
Main namespace for cfl library.
Definition: Approx.hpp:22
The parameters of Black model.
Definition: BlackData.hpp:46
const Function & discount() const
const Function & forward() const