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BraceVolatilityFunction Class Reference

List of all members.

Public Methods
	BraceVolatilityFunction (double a, double b, double c, double d)
	Default constructor to set coeffs.
	~BraceVolatilityFunction ()
	Destructor.
double	operator() (double t)
	operator to evaluate the function at given time to maturity.
double	da (double t)
	First derivative with respect to a.
double	db (double t)
	First derivative with respect to b.
double	dc (double t)
	First derivative with respect to c.
double	dd (double t)
	First derivative with respect to d.
Private Attributes
double	a_
	coefficients of the function.
double	b_
	coefficients of the function.
double	c_
	coefficients of the function.
double	d_
	coefficients of the function.

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Detailed Description

Brace volatility term structure function ( similar to Nelson-Siegel function for zero rate)

sigma(t) = (a+b*t)*exp(-c*t) + d

Definition at line 52 of file CurveFitting.cpp.

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

• CurveFitting.cpp

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