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. |
sigma(t) = (a+b*t)*exp(-c*t) + d
Definition at line 52 of file CurveFitting.cpp.