Class AbcdFunction

instantaneous covariance function at time t between T-fixing and S-fixing rates $ f(T-t)f(S-t) $

integral of the instantaneous covariance function between time t1 and t2 for T-fixing and S-fixing rates $$ \int_{t1}^{t2} f(T-t)f(S-t)dt $$

instantaneous covariance at time t between T and S fixing rates: $ f(T-u)f(S-u) $

instantaneous variance at time t of T-fixing rate: $ f(T-t)f(T-t) $

instantaneous volatility at time t of the T-fixing rate: $ f(T-t) $

volatility function value at time +inf: $ f(\inf) $

maximum value of the volatility function

indefinite integral of the instantaneous covariance function at time t between T-fixing and S-fixing rates $ \int f(T-t)f(S-t)dt $

volatility function value at time 0: $ f(0) $

variance between tMin and tMax of T-fixing rate: $$ \frac{\int_{tMin}^{tMax} f^2(T-u)du}{tMax-tMin} $$

average volatility in [tMin,tMax] of T-fixing rate: $$ \sqrt{ \frac{\int_{tMin}^{tMax} f^2(T-u)du}{tMax-tMin} } $$