CFL
HullWhiteData.hpp
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1 //Copyright (c) Dmitry Kramkov, 2000-2006. All rights reserved.
2 
3 #ifndef __cflHullWhiteData_hpp__
4 #define __cflHullWhiteData_hpp__
5 
6 #include "cfl/Data.hpp"
7 
18 namespace cfl
19 {
31 
33 
36  namespace HullWhite
37  {
39 
40 
42 
45  class Data
46  {
47  public:
51  Data(){};
52 
61  Data(const Function & rDiscount,
62  const Function & rVolatility,
63  const Function & rShape,
64  double dInitialTime);
65 
75  Data(const Function & rDiscount,
76  double dSigma,
77  double dLambda,
78  double dInitialTime);
79 
84  double initialTime() const;
85 
90  const Function & discount() const;
91 
96  const Function & volatility() const;
97 
103  const Function & shape() const;
104 
105  private:
106  Function m_uDiscount;
107  Function m_uVolatility;
108  Function m_uShape;
109  double m_dInitialTime;
110  };
112  }
114 }
115 
116 #include "cfl/Inline/iHullWhiteData.hpp"
117 #endif // of __cflHullWhiteData_hpp__
118 
const Function & shape() const
The parameters of Hull and White model.
Definition: HullWhiteData.hpp:45
Data()
Definition: HullWhiteData.hpp:51
Concrete class for a one-dimensional function.
Definition: Function.hpp:78
double initialTime() const
const Function & discount() const
Useful data structures.
Main namespace for cfl library.
Definition: Approx.hpp:22
const Function & volatility() const