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Drift Class Reference

#include <Drift.h>

List of all members.

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< RealGetvDrift (void)
 Return Drift.

Real GetDriftattimei (LongNatural i)
 Get Drift for time i.

valarray< LongIntegerGetvDates (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< LongIntegervDates
valarray< RealvDrift
unsigned long m_nDates


Detailed Description

Author:
Simon

Definition at line 11 of file Drift.h.


Constructor & Destructor Documentation

Drift::Drift Date  startDate,
Real  ExpiryInYears,
LongNatural nDates,
yieldCurve pyieldCurve,
volsurface pvolsurface,
Real  Strike
 

Default constructor.

Parameters:
startDate: Start Date of the drift
ExpiryInYears: Length of the drift to be computed
nDates: Number of dates to cut the drift
pyieldCurve: Yield Curve to compute the spot rate between each date
pvolsurface: Volatility Surface to compute the forward volatility between each date
Strike: Strike of the option, used to compute the colatility (function of the strike)

Definition at line 5 of file Drift.cpp.

References yieldCurve::forwardRate(), volsurface::forwardVolatility(), LongNatural, Natural, Date::plusDays(), Real, Date::serialNumber(), vDates, and vDrift.

Drift::Drift void   ) 
 

Default constructor needed.

Author:
Yann

Definition at line 26 of file Drift.cpp.

Drift::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.

Author:
Yann
Parameters:
startDate: Start Date of the drift
ExpiryInYears: Length of the drift to be computed
rateToMaturity: spot rate to matrurity - can come from a yc in calling classes
volToMaturity: volatility to matrurity - can come from a volsurface in calling classes

Definition at line 30 of file Drift.cpp.

References m_nDates, Natural, Date::plusDays(), Real, Date::serialNumber(), vDates, and vDrift.

Drift::~Drift  ) 
 

Definition at line 47 of file Drift.cpp.


Member Function Documentation

Real Drift::GetDriftattimei LongNatural  i  ) 
 

Get Drift for time i.

Definition at line 60 of file Drift.cpp.

References LongNatural, m_nDates, Real, and vDrift.

LongInteger Drift::GetTimeBtwDates LongNatural  i,
LongNatural  j
 

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.

valarray< LongInteger > Drift::GetvDates void   ) 
 

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().

valarray< Real > Drift::GetvDrift void   ) 
 

Return Drift.

Definition at line 51 of file Drift.cpp.

References m_nDates, Natural, and vDrift.

Referenced by mainmc().


Member Data Documentation

unsigned long Drift::m_nDates [private]
 

Definition at line 52 of file Drift.h.

Referenced by Drift(), GetDriftattimei(), GetTimeBtwDates(), GetvDates(), and GetvDrift().

valarray<LongInteger> Drift::vDates [private]
 

Definition at line 50 of file Drift.h.

Referenced by Drift(), GetTimeBtwDates(), and GetvDates().

valarray<Real> Drift::vDrift [private]
 

Definition at line 51 of file Drift.h.

Referenced by Drift(), GetDriftattimei(), and GetvDrift().


The documentation for this class was generated from the following files:
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Generated on Thu Dec 22 23:12:39 2005 for terreneuve by doxygen 1.3.6