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< 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

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Detailed Description

Author:

Simon

Definition at line 11 of file Drift.h.

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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.

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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().

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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().

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The documentation for this class was generated from the following files:

• Drift.h
• Drift.cpp

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