The parameters of Black model.
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#include <cfl/BlackData.hpp>
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| Data () |
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| Data (const Function &rDiscount, const Function &rForward, const Function &rVolatility, double dInitialTime) |
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| Data (const Function &rDiscount, const Function &rForward, double dSigma, double dInitialTime) |
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| Data (const Function &rDiscount, const Function &rForward, const Function &rVolatility, const Function &rShape, double dInitialTime) |
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| Data (const Function &rDiscount, const Function &rForward, double dSigma, double dLambda, double dInitialTime) |
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const Function & | discount () const |
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const Function & | forward () const |
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double | initialTime () const |
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const Function & | shape () const |
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const Function & | volatility () const |
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This class defines the parameters of the Black model. The set of parameters consists of discount, forward, shape, and volatility curves.
cfl::Black::Data::Data |
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cfl::Black::Data::Data |
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const Function & |
rDiscount, |
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const Function & |
rForward, |
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const Function & |
rVolatility, |
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double |
dInitialTime |
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Constructs parameters of classical Black model.
- Parameters
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rDiscount | A discount curve. |
rForward | A forward curve. |
rVolatility | A volatility curve. |
dInitialTime | Initial time given as year fraction. |
cfl::Black::Data::Data |
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const Function & |
rDiscount, |
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const Function & |
rForward, |
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double |
dSigma, |
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double |
dInitialTime |
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Constructs parameters of classical Black model with constant volatility.
- Parameters
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rDiscount | A discount curve. |
rForward | A forward curve. |
dSigma | A volatility. |
dInitialTime | Initial time given as year fraction. |
Constructs parameters of general Black model.
- Parameters
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rDiscount | A discount curve. |
rForward | A forward curve. |
rVolatility | A volatility curve. |
rShape | A shape function. This function defines the shape of movements of the curve of forward prices. |
dInitialTime | Initial time given as year fraction. |
cfl::Black::Data::Data |
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const Function & |
rDiscount, |
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const Function & |
rForward, |
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double |
dSigma, |
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double |
dLambda, |
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double |
dInitialTime |
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Constructs parameters of general Black model with stationary volatility.
- Parameters
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rDiscount | A discount curve. |
rForward | A forward curve. |
dSigma | The volatility of spot price. |
dLambda | The mean-reversion coefficient for log of spot price under the risk-neutral measure. |
dInitialTime | Initial time given as year fraction. |
const Function& cfl::Black::Data::discount |
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Accessor function to discount curve.
- Returns
- The discount curve.
const Function& cfl::Black::Data::forward |
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Accessor function to forward curve.
- Returns
- Forward curve for financial asset.
double cfl::Black::Data::initialTime |
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Accessor function to the initial time.
- Returns
- The initial time as year fraction.
const Function& cfl::Black::Data::shape |
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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 |
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Accessor function to volatility curve.
- Returns
- The volatility curve for the state process.
The documentation for this class was generated from the following file: