| Class | Description |
|---|---|
| AlmgrenEnhancedEulerUpdate |
AlmgrenEnhancedEulerUpdate is a R^1 To R^1 Function that is used in Almgren (2009, 2012) to illustrate the
Construction of the Enhanced Euler Update Scheme.
|
| AndersenPiterbargMeanReverter |
AndersenPiterbargMeanReverter implements the mean-reverting Univariate Function detailed in:
- Andersen and Piterbarg (2010): Interest Rate Modeling (3 Volumes), Atlantic Financial Press.
|
| Bennett |
Bennett is implementation of the Bennett's Function used in the Estimation of the Bennett's Concentration
Inequality.
|
| BernsteinPolynomial |
BernsteinPolynomial provides the evaluation of the BernsteinPolynomial and its derivatives for a specified
variate.
|
| ExponentialDecay |
ExponentialDecay implements the scaled exponential decay Univariate Function.
|
| ExponentialTension |
ExponentialTension provides the evaluation of the Exponential Tension Function and its derivatives for a
specified variate.
|
| FlatUnivariate |
FlatUnivariate implements the level constant Univariate Function.
|
| FunctionClassSupremum |
FunctionClassSupremum implements the Univariate Function that corresponds to the Supremum among the
specified Class of Functions.
|
| HyperbolicTension |
HyperbolicTension provides the evaluation of the Hyperbolic Tension Function and its derivatives for a
specified variate.
|
| LinearRationalShapeControl |
LinearRationalShapeControl implements the deterministic rational shape control functionality on top of the
estimator basis splines inside - [0,...,1) - Globally [x_0,...,x_1):
y = 1 / [1 + lambda * x]
where is the normalized ordinate mapped as
x === (x - x_i-1) / (x_i - x_i-1)
|
| LinearRationalTensionExponential |
LinearRationalTensionExponential provides the evaluation of the Convolution of the Linear Rational and the
Tension Exponential Functons and its derivatives for a specified variate.
|
| NaturalLogSeriesElement |
NaturalLogSeriesElement implements an element in the natural log series expansion.
|
| OffsetIdempotent |
OffsetIdempotent provides the Implementation of the Offset Idempotent Operator - f(x) = x - C.
|
| Polynomial |
Polynomial provides the evaluation of the n-th order Polynomial and its derivatives for a specified
variate.
|
| QuadraticRationalShapeControl |
QuadraticRationalShapeControl implements the deterministic rational shape control functionality on top of
the estimator basis splines inside - [0,...,1) - Globally [x_0,...,x_1):
y = 1 / [1 + lambda * x * (1-x)]
where is the normalized ordinate mapped as
x ==== (x - x_i-1) / (x_i - x_i-1)
|
| SABRLIBORCapVolatility |
SABRLIBORCapVolatility implements the Deterministic, Non-local Cap Volatility Scheme detailed in:
- Rebonato, R., K.
|
| UnivariateConvolution |
This class provides the evaluation of the Convolution au1 * au2 and its derivatives for a specified
variate.
|
| UnivariateReciprocal |
UnivariateReciprocal provides the evaluation 1/f(x) instead of f(x) for a given f.
|
| UnivariateReflection |
UnivariateReflection provides the evaluation f(1-x) instead of f(x) for a given f.
|