Class PiecewiseConstantAbcdVariance

Namespace

NanoQL.Models

Assembly

NanoQL.dll

The piecewise-constant variance of the rate resetting at a given rate time under an abcd volatility: each step to the reset the abcd function's variance over the step, 0 after it.

public sealed class PiecewiseConstantAbcdVariance : PiecewiseConstantVariance

Inheritance

object

PiecewiseConstantVariance

PiecewiseConstantAbcdVariance

Inherited Members

PiecewiseConstantVariance.Variance(int)

PiecewiseConstantVariance.Volatility(int)

PiecewiseConstantVariance.TotalVariance(int)

PiecewiseConstantVariance.TotalVolatility(int)

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable. QuantLib's getABCD out-parameters are GetABCD()'s record. Rate times QuantLib allocates its vectors from before checking them, an empty set among them, are refused with QuantLib's check of the times.

Constructors

PiecewiseConstantAbcdVariance(double, double, double, double, int, ReadOnlySpan<double>)

Initializes a new instance of the PiecewiseConstantAbcdVariance class.

public PiecewiseConstantAbcdVariance(double a, double b, double c, double d, int resetIndex, ReadOnlySpan<double> rateTimes)

Parameters

a double

The abcd function's a.

b double

The abcd function's b.

c double

The abcd function's c.

d double

The abcd function's d.

resetIndex int

The rate time the rate resets at, below the number of rate times less one.

rateTimes ReadOnlySpan<double>

The rate times, at least two, strictly increasing and positive.

Exceptions

ArgumentException

The rate times aren't strictly increasing positive times, or fewer than two, or the abcd parameters are outside their domain.

ArgumentOutOfRangeException

resetIndex isn't below the rate times less one.

Properties

RateTimes

Gets the rate times ending the steps.

public override ImmutableArray<double> RateTimes { get; }

Property Value

ImmutableArray<double>

Variances

Gets each step's variance.

public override ImmutableArray<double> Variances { get; }

Property Value

ImmutableArray<double>

Volatilities

Gets each step's volatility.

public override ImmutableArray<double> Volatilities { get; }

Property Value

ImmutableArray<double>

Methods

GetABCD()

The abcd function's parameters.

public AbcdCoefficients GetABCD()

Returns

AbcdCoefficients

The parameters, QuantLib's getABCD out-parameters.