#include <Drift.h>
Public Member Functions | |
Drift (Date startDate, Real ExpiryInYears, LongNatural &nDates, yieldCurve *pyieldCurve, volsurface *pvolsurface, Real Strike) | |
Default constructor. | |
Drift (void) | |
Default constructor needed. | |
Drift (Date startDate, Real ExpiryInYears, Real rateToMaturity, Real volToMaturity) | |
Simpler constructor - for 1 date (non path dependant payoffs, not need to have yc and volsurface. | |
~Drift () | |
valarray< Real > | GetvDrift (void) |
Return Drift. | |
Real | GetDriftattimei (LongNatural i) |
Get Drift for time i. | |
valarray< LongInteger > | GetvDates (void) |
Return serial numbers of dates computed for the drift. | |
LongInteger | GetTimeBtwDates (LongNatural i, LongNatural j) |
Return Difference in days between two dates of the drift. | |
Private Attributes | |
valarray< LongInteger > | vDates |
valarray< Real > | vDrift |
unsigned long | m_nDates |
Definition at line 11 of file Drift.h.
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Default constructor.
Definition at line 5 of file Drift.cpp. References yieldCurve::forwardRate(), volsurface::forwardVolatility(), LongNatural, Natural, Date::plusDays(), Real, Date::serialNumber(), vDates, and vDrift. |
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Default constructor needed.
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Simpler constructor - for 1 date (non path dependant payoffs, not need to have yc and volsurface.
Definition at line 30 of file Drift.cpp. References m_nDates, Natural, Date::plusDays(), Real, Date::serialNumber(), vDates, and vDrift. |
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Get Drift for time i.
Definition at line 60 of file Drift.cpp. References LongNatural, m_nDates, Real, and vDrift. |
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Return Difference in days between two dates of the drift.
Definition at line 78 of file Drift.cpp. References LongInteger, LongNatural, m_nDates, and vDates. |
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Return serial numbers of dates computed for the drift.
Definition at line 68 of file Drift.cpp. References m_nDates, Natural, and vDates. Referenced by mainmc(). |
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Return Drift.
Definition at line 51 of file Drift.cpp. References m_nDates, Natural, and vDrift. Referenced by mainmc(). |
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Definition at line 52 of file Drift.h. Referenced by Drift(), GetDriftattimei(), GetTimeBtwDates(), GetvDates(), and GetvDrift(). |
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Definition at line 50 of file Drift.h. Referenced by Drift(), GetTimeBtwDates(), and GetvDates(). |
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Definition at line 51 of file Drift.h. Referenced by Drift(), GetDriftattimei(), and GetvDrift(). |